Assume a portfolio with an annual expected return of zero percent and an annual standard deviation of 10%. The current value of the portfolio is £1,000,000. Assume 250 trading days in a year. Calculate the 1-day VaR at 99% confidence level (z=2.33)(reported as a positive value).
a. £14,736.21
b. £15,688.32
c. £99,000



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