I am trying to figure out the following, for me unfamiliar type of question:
Given is a single asset portfolio: the Delta of the portfolio is 15, the value of the asset is 10 and the daily volatility is 2.2%. From this, I have to calculate the one-day 98% VaR of the portfolio.
I have not encountered a situation where the Delta is directly related to the VaR so I am not sure how I should approach this problem. Help is very much appreciated.