16.14 Microsoft Example continued We assume that the expected change in the value of the portfolio is zero (this is OK for short time periods We assume that the change in the value of the portfolio is normally distributed Since N(2.33 =0.01, the VaR is 2.33×632456=$1.473,621 Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 16.14 Microsoft Example continued • We assume that the expected change in the value of the portfolio is zero (This is OK for short time periods) • We assume that the change in the value of the portfolio is normally distributed • Since N(–2.33)=0.01, the VaR is 2.33 632,456 = $1,473,621