Based on the information in Exhibit 1 and assuming Mercury uses the analytical method for calculating VaR, which of Mercury’s industry-specific lending units *most likely* has the lowest annual VaR?

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Sure, if you convert the 3 VaR to annual, you got the answer. Fast. Pretty simple.

However, if I agree the final answer, I disagree the method. Here we are comparing VaR with 3 confidence levels on 3 different assets.

Does it seems pragmatic for you?

We maybe should have first compute the 3 VaR with the same confidence level. This calculation lead to the same final results.

What do you think guys?