Question: Assuming a 10m investment that is 40 stock A and
Assuming a $10m investment that is 40% stock A and 60% stock B, compute the 95% and 99% VaR for the position over 1-day, 10-day, and 20-day horizons.
Answer to relevant QuestionsRepeat the previous problem supposing that the brokerage fee is quoted as 0.3% of the bid or ask price. Previous Problem ABC stock has a bid price of $40.95 and an ask price of $41.05. Assume there is a $20 brokerage ...What are 95% and 99% 1-, 10-, and 20-dayVaRs for a portfolio that has $4m invested in stock A, $3.5m in stock B, and $2.5m in stock C? Using Monte Carlo, compute the 95% and 99% 1-, 10-, and 20-day tail VaRs for the position in Problem 26.2. Repeat the previous problem, assuming that default correlations are 0.25. Consider a firm with an F rating. a. What is the probability that after 4 years it will still have an F rating? b. What is the probability that after 4 years it will have an FF or FFF rating? c. From examining the transition ...
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