Question 4: does anyone know why there is no adjustment for the probability/confidence level, only the time period?
P.S. are we allowed to copy and paste topic test questions and answers on AF?
No
Regarding the first part, it asks to calculate annualized VAR so the only variable is time.
https://www.analystforum.com/forums/cfa-forums/cfa-level-iii-forum/91357160
TLDR - It’s because the expected return = 0% and is a shortcut when this is the case.
Check out the first paragraph of page 157 in Reading 25.