Bina Bank has a $7.7 billion long position in Nikkei futures and a $16 billion short...
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Bina Bank has a $7.7 billion long position in Nikkei futures and a $16 billion short position in Japanese government bond futures. The monthly volatility for the stocks and bonds is 5.83% and 1.18% respectively, while the correlation coefficient between them is -0.114. Given the information provided calculate: a) The monthly and daily (21 trading days per month) portfolio value at risk (VAR) at the 95% and 99% confidence level. Those have one-tailed normal distribution values of 1.645 and 2.326 standard deviations respectively. (40 marks) Bina Bank has a $7.7 billion long position in Nikkei futures and a $16 billion short position in Japanese government bond futures. The monthly volatility for the stocks and bonds is 5.83% and 1.18% respectively, while the correlation coefficient between them is -0.114. Given the information provided calculate: a) The monthly and daily (21 trading days per month) portfolio value at risk (VAR) at the 95% and 99% confidence level. Those have one-tailed normal distribution values of 1.645 and 2.326 standard deviations respectively. (40 marks)
Expert Answer:
Answer rating: 100% (QA)
To calculate the portfolio Value at Risk VaR at the 95 and 99 confidence level we need to consider the individual VaRs of the Nikkei futures and Japan... View the full answer
Related Book For
Introduction To Corporate Finance
ISBN: 9781118300763
3rd Edition
Authors: Laurence Booth, Sean Cleary
Posted Date:
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