If the 1-day VaR of a portfolio is $25m, what is the 10-day VaR for the portfolio?

If the 1-day VaR of a portfolio is $25m, what is the 10-day VaR for the portfolio?
A . $7.906m $79.06m
B . $250m
C . Cannot be determined without the confidence level being specified

View Answer

Answer: B

Explanation:

The 10-day VaR is = $25m x SQRT(10) = $79.06m. Choice ‘b’ is the correct answer.