# Question: The probability that the loss from a portfolio will be

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 zero mean?

(b) What is the one-month 99% VaR assuming that the power law applies with a = 3?

(a) What is the one-month 99% VaR assuming the change in value of the portfolio is normally distributed with zero mean?

(b) What is the one-month 99% VaR assuming that the power law applies with a = 3?

## Relevant Questions

Suppose that the price of Asset X at close of trading yesterday was $300 and its volatility was estimated as 1.3% per day. The price of X at the close of trading today is $298. Suppose further that the price of Asset Y at ...The default rates in the last 15 years for a certain category of loans is 2%, 4%, 7%, 12%, 6%, 5%, 8%, 14%, 10%, 2%, 3%, 2%, 6%, 7%, 9%. Use the maximum likelihood method to calculate the best fit values of the parameters in ...Suppose 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 authorâ€™s web site to calculate what difference this ...A bank has written European a call option on one stock and a European put option on another stock. For the first option, the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to ...Suppose that an investor owns the $10 million portfolio in Table 13.1 on September 30, 2014. The values of the four indices on that day were 17,042.90, 6622.7, 4,416.24, 16,173.52. The exchange rates on that day were:1.6211 ...Post your question