# Question

Consider the expression in equation (26.6). What is the exact probability that, over

a 1-day horizon, stock A will have a loss?

a 1-day horizon, stock A will have a loss?

## Answer to relevant Questions

Suppose that you go to a bank and borrow $100. You promise to repay the loan in 90 days for $102. Explain this transaction using the terminology of short-sales. Compute the 95% 10-day tail VaR for the position in Problem 26.8. In Problem 26.8. Compute the 95% 10-day VaR for a written strangle (sell an out-of-the-money call and an out-of-the-money put) on 100,000 shares of stock A. ...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. The firm has a single outstanding debt issue with a promised maturity payment of $120 in 5 years. What is the probability of bankruptcy? What is the credit spread? Suppose the firm issues a single zero-coupon bond with time to maturity 3 years and maturity value $110. a. Compute the price, yield to maturity, default probability, and expected recovery (E [BT| Default]). b. Verify that ...Post your question

0