Question: Suppose that a one day 97 5 VaR is estimated as 13
Suppose that a one-day 97.5% VaR is estimated as $13 million from 2,000 observations. The one-day changes are approximately normal with mean zero and standard deviation $6 million. Estimate a 99% confidence interval for the VaR estimate.
Answer to relevant QuestionsSuppose that the portfolio considered in Section 13.1 has (in $000s) 3,000 in DJIA, 3,000 in FTSE, 1,000 in CAC 40, and 3,000 in Nikkei 225. Use the spreadsheet on the author’s web site to calculate what difference this ...Suppose that you know the gamma of the portfolio in Problem 15.17 is –2.6. Derive a quadratic relationship between the change in the portfolio value and the percentage change in the underlying asset price in one day. (a) ...Estimate the capital required under Basel I for a bank that has the following transactions with another bank. Assume no netting. (a) A two-year forward contract on a foreign currency, currently worth $2 million, to buy ...In Figure 18.3 where the CCP is used, suppose that an extra transaction between A and C which is worth 140 to A is cleared bilaterally. What effect does this have on the tables in Figure 18.3? Explain carefully the distinction between real-world and risk-neutral default probabilities. Which is higher? A bank enters into a credit derivative where it agrees to pay $100 at the end of one year if a certain company’s ...
Post your question