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CMA Final · Strategic Financial Management · Digital Finance

A crypto-asset exchange bought a token at Rs 80,000 and holds a long position of 5 tokens. Daily volatility of the token's price is 3%. Using a parametric one-day 99% VaR with z = 2.33 and a normal distribution, what is the approximate one-day VaR of the position (token price now Rs 80,000)?

One-day VaR is Rs 27,960. The position is worth Rs 4,00,000, daily standard deviation is 3% of that, Rs 12,000, and multiplying by 2.33 gives Rs 27,960.

  1. ARs 27,960
  2. BRs 9,32,000
  3. CRs 2,79,600Correct
  4. DRs 2,40,000

Explanation

Position = 5 x 80,000 = Rs 4,00,000. Daily standard deviation = 3% x 4,00,000 = Rs 12,000. VaR = 2.33 x 12,000 = Rs 27,960. So the correct figure is Rs 27,960, not 2,79,600.

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