Question: 4. For question (a) below, restrict your answer to less than three sentences. a) An index-linked deposit where principal is protected is completely risk-free. Do

4. For question (a) below, restrict your answer to less than

4. For question (a) below, restrict your answer to less than three sentences. a) An index-linked deposit where principal is protected is completely risk-free. Do you agree or disagree? Justify. b) What are the chances of getting not more than two exceptions while backtesting 99% VaR for 150 days? c) The most recent estimate of the daily volatility of an asset is 1.5% and the price of the asset at the close of trading yesterday was 350. The parameter 2 in the EWMA model is 0.94. Suppose that the price of the asset at the close of trading today is $358. How will this cause the volatility to be updated by the EWMA model? d) In the above example, what will be the weight of the initial volatility estimate in the volatility estimate obtained after three trading days? 4. For question (a) below, restrict your answer to less than three sentences. a) An index-linked deposit where principal is protected is completely risk-free. Do you agree or disagree? Justify. b) What are the chances of getting not more than two exceptions while backtesting 99% VaR for 150 days? c) The most recent estimate of the daily volatility of an asset is 1.5% and the price of the asset at the close of trading yesterday was 350. The parameter 2 in the EWMA model is 0.94. Suppose that the price of the asset at the close of trading today is $358. How will this cause the volatility to be updated by the EWMA model? d) In the above example, what will be the weight of the initial volatility estimate in the volatility estimate obtained after three trading days

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