# Question: The change in the value of a portfolio in three

The change in the value of a portfolio in three months is normally distributed with a mean of $500,000 and a standard deviation of $3 million. Calculate the VaR and ES for a confidence level of 99.5% and a time horizon of three months.

**View Solution:**## Answer to relevant Questions

The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be 5%. (a) What is the one-month 99% VaR assuming the change in value of the portfolio is normally distributed with ...Consider a position consisting of a $300,000 investment in gold and a $500,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.8% and 1.2% respectively, and that the coefficient of ...The calculations in Section 15.3 assume that the investments in the DJIA, FTSE 100, CAC 40, and Nikkei 225 are $4 million, $3 million, $1 million, and $2 million, respectively. How do the VaR and ES change if the investment ...A company enters into a short futures contract to sell 5,000 bushels of wheat for 250 cents per bushel. The initial margin is $3,000 and the maintenance margin is $2,000. What price change would lead to a margin call? Under ...Consider a European call option on a non-dividend-paying stock where the stock price is $52, the strike price $50, the risk-free rate is 5%, the volatility is 30%, and the time to maturity is one year. Answer the following ...Post your question