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02-06-2023
Business

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A market risk manager uses historical information on 1,000 days of profit/loss information to calculate a daily VaR at the 99th percentile, $8 millions. Loss observations beyond the 99th percentile are then used to estimate the conditional VaR. If the losses beyond the VaR level, in millions, are $9, $10, $11, $13, $12, $15, $19, $24, and $22, then what is the conditional VaR? A. $9 million. B. $32 million C. $15 million D. $17 million

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