Korea Derivatives Investment Advisor
Korea Derivatives Investment Advisor (파생상품투자권유자문인력, South Korea)
Risk Management EthicsEnglish
Exam overviewPractice session
A financial investment firm manages a derivatives portfolio valued at KRW 10,000,000,000 (10 billion KRW). The estimated daily standard deviation (volatility) of the portfolio returns is 1.5%. Assuming returns follow a normal distribution, what is the 1-day Value at Risk (VaR / 델타-노멀 VaR) at a 99% confidence level (Z-score = 2.33)?
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