The change in the value of a portfolio in one month is normally distributed with a...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
The change in the value of a portfolio in one month is normally distributed with a mean of zero and a standard deviation of $4.5 million. Note the confidence level is 96.5% and a time horizon is of five months. a) Calculate the following: 1) Value at Risk (4 marks) ii) Expected Shortfall for the portfolio (4 marks) I b) Explain your answers in relation to i) and ii) above (2 marks) The change in the value of a portfolio in one month is normally distributed with a mean of zero and a standard deviation of $4.5 million. Note the confidence level is 96.5% and a time horizon is of five months. a) Calculate the following: 1) Value at Risk (4 marks) ii) Expected Shortfall for the portfolio (4 marks) I b) Explain your answers in relation to i) and ii) above (2 marks)
Expert Answer:
Answer rating: 100% (QA)
a i Value at Risk VaR To calculate the Value at Risk at a 965 confidence level we need to find the z... View the full answer
Related Book For
Posted Date:
Students also viewed these finance questions
-
Love Spell is a company that manufactures and sells high-end perfume and cologne. The company runs print advertisements in magazines and newspapers. The perfume and cologne dont smell very good...
-
Use co-factor expansion to reduce the determinant of to the sum of the fewest number of 4 4 matrices. 35 -1 -1 8 -4 2 1 0 1 -3 2 1 4 0 1 0 3 -7 2 3 4 3 4 1 2
-
A definition for the instantaneous frequency was given in Eq. (2.49). A more general definition is \(f_{i}(t)=\frac{1}{2 \pi} \operatorname{Im}\left\{\frac{d}{d t} \ln \psi(t)ight\}\) where...
-
In Exercises 1 through 28, differentiate the given function. y = 2x
-
Using the following returns, calculate the average returns, the variances, and the standard deviations for X and Y. 68159 213 X 67354 11-12 12345
-
For the following exercises, find the exact value. cos 1 (0.4)
-
Aaron Reed, a photographer, was in a dispute with Ezelle Investment Properties, Inc., over Ezelle allegedly using one of Reeds photographs without permission. Reed sent Ezelle a cease-and-desist...
-
Barlow Company manufactures three products: A, B, and C. The selling price, variable costs, and contribution margin for one unit of each product follow: The same raw material is used in all three...
-
One of the driving engines that generate profits within capitalist production is the way that the price of wages is determined. The capitalist pays a wage for the worker that is different than the...
-
. Calculate the Cash Conversion and Operating cycles, given the following information: (3 marks) Average Inventory Average Account Recievable Average Account Payable Sales COGS (Cost Of Goods Sold)...
-
1. Explain and analyse two methods that could be used in marketing and communicating for each of the following. Explain the success of one method over another method when engaging the client or...
-
Calculate NPV, Payback and IRR Table 1 Net cost of new plane Additional revenue Financial analysis of project A: Add a twin-jet to the company's fleet Additional operating costs Amortization Net...
-
Oswego Industries is considering investing in a new project and has prepared the incremental earnings forecast and other information provided below: Year 0 Year 1 Year 2 Year 3 Revenue $840,000...
-
University Community Hospital has recently been criticized for its less-than-perfect patient care. In an attempt to curb negative implications, the administrators at the hospital decided that it was...
-
An email marketing campaign on Marcy's - beautiful affordable clothing for families in Kitchener, Ontario including 1. What is the focus and purpose of this campaign? 2. Two researched facts/stats...
-
What are the three broad categories of safeguards identified in Part 1 of the Code, in the Conceptual Framework for members in public practice? Which category of safeguard cannot be relied upon, by...
-
What is the purpose of the journal wizard?
-
What position is equivalent to a long forward contract to buy an asset at K on a certain date and a put option to sell it for K on that date?
-
What is the relationship between (a) the duration, (b) the partial durations, and (c) the DV01 of a portfolio?
-
What is the difference between the overthecounter market and the exchangetraded market? Which of the two markets do the following trade in: (a) a forward contract, (b) a futures contract, (c) an...
-
The plaintiff [Christine Parent] leased an automobile from Amity Autoworld, Ltd. (hereafter Amity) [in Amityville, New York] in January 2002. Amity sold all its Toyota automobile franchise assets * *...
-
PT China, LLC, joined with PT Korea, LLC, to form PT Holdings. Harrison Wang and Michael Kim, representing the two entities, were to be the managers. The agreements prohibited them from engaging in...
-
The Communications Act of 1934 established a system of limited-term broadcast licenses subject to various conditions * * * . * * * [These conditions include] the indecency banthe statutory...
Study smarter with the SolutionInn App