A firm is considering investing in a project with net payoff X at time 1. The...
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A firm is considering investing in a project with net payoff X at time 1. The invest- ment costs 100 000, which is paid today (i.e. at time 0), and the investment's payoff V₁ at time 1 is modelled as a random variable with density function fv₁(x) = -=-e-x/ª₁ x ≥ 0 a where a = 150000. A risk free zero conpon bond with face value 1 and maturing at time 1 costs (or discounted) Bo= 0.96 today. Determine the project's value-at-risk at level 5% A firm is considering investing in a project with net payoff X at time 1. The invest- ment costs 100 000, which is paid today (i.e. at time 0), and the investment's payoff V₁ at time 1 is modelled as a random variable with density function fv₁(x) = -=-e-x/ª₁ x ≥ 0 a where a = 150000. A risk free zero conpon bond with face value 1 and maturing at time 1 costs (or discounted) Bo= 0.96 today. Determine the project's value-at-risk at level 5%
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Related Book For
Fundamentals of Financial Management
ISBN: 978-0324597707
12th edition
Authors: Eugene F. Brigham, Joel F. Houston
Posted Date:
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