Suppose you have invested $120,000 in an Exchange Traded Fund (ETF), and the fund manager recently announced
Question:
Suppose you have invested $120,000 in an Exchange Traded Fund (ETF), and the fund manager recently announced that he has estimated the portfolio risk of the fund.He expressed this risk as a 5% chance of losing 10% or more of the total fund value during any one day of trading, and an average loss of 12% of the fund value if a loss of 10% or more actually occurs. (Note:Enter your answer to questions 9-10 rounded to the nearest dollar, but no $ sign.For example, $12,345.67 should be entered as 12346).
1) Given this information, what would be the dollar amount of the Daily 5% Value at Risk (VaR) for your investment rounded to the nearest dollar?
2) Given this information, what would be the dollar amount of the Daily 5% Value at Risk (VaR) for your investment rounded to the nearest dollar?
Intermediate Financial Management
ISBN: 978-1111530266
11th edition
Authors: Eugene F. Brigham, Phillip R. Daves