The Westover Fund is a portfolio consisting of 42 percent fixed income investments and 58 percent equity investments.

The manager of the Westover Fund recently estimated that the annual VAR(5 percent),

assuming a 250-day year, for the entire portfolio was $1,367,000 based on the portfolio’s market value of $12,428,000 and a correlation coefficient between stocks and bonds of zero.

If the annual loss in the equity position is only expected to exceed $1,153,000 5 percent of the time,

then the daily expected loss in the bond position that will be exceeded 5 percent of the time is closest to:

A) $72,623.

B) $46,445.

C) $55,171.

D) $21,163.

本文内容由FRM考试网（www.frm.com.cn）原创发布，未经许可不得随意转载或引用，违者必究。