A risk manager needs to generate two variables with a correlation of 0.6. Explain how this could

Question:

A risk manager needs to generate two variables with a correlation of 0.6. Explain how this could be done starting from independent variables. Verify that the final variables have unit volatility.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

See More Books

Question Posted: May 03, 2016 02:19 AM

See More Questions

A portfolio manager needs to pick winnersassets or securities with high expected returns and low risk. What is wrong with this statement?
A portfolio manager needs to pick winnersassets or securities with high expected returns and low risk. What is wrong with this statement?
The manager of a small health clinic needs to forecast demand for laboratory services in the facility. Data from the last six weeks are available and are, respectively, 330, 350, 320, 370, 368, and...
How does ESMA support national regulators in enforcing the application of IFRS?
Pecos Flats, an ecotourism business, has two service centers, Human Resources and Financial Resources. They provide services to each other as well as to two revenue centers, Desert Adventures and Sea...
Why is nonoperating income reported separately from revenues? Is this always the case?
Finite difference method a. Assumes that acceleration varies linearly between $t_{i}$ and $t_{i}+\theta \Delta t ; \theta \geq 1$ b. Assumes that acceleration varies linearly between $t_{i}$...
On July 1, 2012, Crowe Co. pays $15,000 to Zubin Insurance Co. for a 3-year insurance policy. Both companies have fiscal years ending December 31. For Crowe Co., journalize the entry on July 1 and...
What do you think are the potential benefits and drawbacks of COBRA? What might be some reasons an individual that leaves an employer but decides to continue their insurance with that previous...
1. Did Ed commit an act discreditable to the profession? Explain. 2. Does the case have any bearing on Ed's ability to provide competent services to his client and serve the public interest? Why or...
Explain why pricing methods use risk-neutral distributions. Does risk measurement need risk-neutral or physical distributions?
Explain how equilibrium and no-arbitrage models use the current term structure.
All future costs are irrelevant. Do you agree? Why or why not?
The S parameters and the noise parameters of a transistor at 1 GHz are the sources and load impedance is 50 S2, and Vs = 10/30 V $120.05/16 S11=0.6/-170 Fmin = 2.5 dB, I'opt = 0.52145, R = 59 a) Is...
Isopropanol can dehydrate to either propylene or diisopropyl ether over the temperature range: 25 - 300C and 1 bar total pressure. Analysis of the reaction system detects isopropanol, diisopropyl...
Solve Exiyll + sinx y + y =o X
a. Determine the size of the IC and VCE dc!b. Draw an ac equivalent circuit!c. Derive the Zi, Zo, and Av equations!d. Count Zi, Zo, Av and AP! H 8292 Vi 1 F HH Ic HH Vo Zo B=90 1 F + +9V 680 Si Si...
Solve the following Volterra Integral Equations using 1. Laplace transform 2. Variational Iterationl Method a) Volterra integral equation with weakly singular kernel u(x)=x+1+ xt-1 u(t)dt the exact...
Mobile devices gives companies a new add another set of options for team projects and other collaborative efforts, particularly when used with cloud computing. Mobility lets workers participate in...
In Problem use absolute value on a graphing calculator to find the area between the curve and the x axis over the given interval. Find answers to two decimal places. y = x 3 ln x; 0.1 x 3.1
Two new rides are being compared by a local amusement park in terms of their annual operating costs. The two rides are assumed to be able to generate the same level of revenue (and thus the focus on...
Consider the accompanying breakeven graph for an investment, and answer the following questions as they pertain to the graph. (a) Give the equation to describe total revenue for x units per year. (b)...
Quatro Hermanas, Inc. is investigating implementing some new production machinery as part of its operations. Three alternatives have been identified, and they have the following fixed and variable...
(a) Argue that sin(x)dx = f sin(x)dx + fo sin(x)dx, and use this to compute a (b) Explain how to calculate where u, v, f are functions. (c) Let a >0. Calculate d da L sin(x)dx -a d v(a) f(x)dx da d...
= [(-1)* (2m)!" 12. Using Maclaurin series of cosx=(-1)*- A. Find Maclaurin series of cosx. B. Using the 1st four terms of Maclaurin series of cosx to evaluate focos x dx (leave answer to four...
Confirm that the below limit meets the conditions to apply l'Hpital's Rule and then solve the limit. Be sure to address these conditions in your explanation. Enter an exact numeric answer. lim In(x)...

A risk manager needs to generate two variables with a correlation of 0.6. Explain how this could

Question:

Step by Step Answer:

The first variable is 1 1 Then compute 1 ...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

Students also viewed these Finance questions