Assume that over short periods of time, the stock price is approximately normally distributed with mean return
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Question:
Assume that over short periods of time, the stock price is approximately normally distributed with mean return of 10% per year and annual standard deviation of 30%.
What would be the one-week, 5% VaR on the stock? Express your answer as a percentage loss on the stock position. (A loss should be expressed as a negative number, for example, a loss of 3.1% would be reported as -3.1.)
What would be the one-day 5% VaR on the stock? Express your answer as a percentage loss on the stock position. There are 250 trading days in a year. (A loss should be expressed as a negative number, for example, a loss of 2.1% would be reported as -2.1.)
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