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Calculate the portfolio value-at-risk measure

Assignment:

Sam Neil, a new quantitative analyst, has been asked by the portfolio manager to calculate the portfolio 1-day 98% Value-at-Risk (VaR) measure based on the past 100 trading days. What will this be if worst 5 losses in the past 100 trading days are 316M, 385M, 412M, 422M and 485M in USD?

a. USD 31.6M

b. USD 41.2M

c. USD 316M

d. USD 412M

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Portfolio Management: Calculate the portfolio value-at-risk measure

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