The following information relates to questions 3-8: Suppose that the value of an index of the...
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The following information relates to questions 3-8: Suppose that the value of an index of the stock market increases on average about 0.02% per day (calculated with continuous discounting) and a volatility (i.e., standard deviation) of 1.2% per day. Assume that the returns are Normally distributed. (Note: Enter your answer to questions 3-8 rounded to the nearest 2 decimals, but no % sign. For example, -1.2345% should be entered as -1.23). 5. What would be the 97% Daily Value at Risk (VaR) expressed as a percent return? (5 points) 6. What would be the 97% Daily Expected Shortfall (ES) expressed as a percent return? (5 points) The following information relates to questions 3-8: Suppose that the value of an index of the stock market increases on average about 0.02% per day (calculated with continuous discounting) and a volatility (i.e., standard deviation) of 1.2% per day. Assume that the returns are Normally distributed. (Note: Enter your answer to questions 3-8 rounded to the nearest 2 decimals, but no % sign. For example, -1.2345% should be entered as -1.23). 5. What would be the 97% Daily Value at Risk (VaR) expressed as a percent return? (5 points) 6. What would be the 97% Daily Expected Shortfall (ES) expressed as a percent return? (5 points)
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