Question: Daily arithmetic returns are normally distributed with mean 0.1 and standard deviation 0.2. Portfolio Value is $100. a) Estimate 1-day 99% VaR a) Estimate 5-day
Daily arithmetic returns are normally distributed with mean 0.1 and standard deviation 0.2. Portfolio Value is $100. a) Estimate 1-day 99% VaR a) Estimate 5-day 95% VaR b) Interpret the 1-day 99% VaR b) Interpret the 5-day 95% VaR Daily geometric returns are normally distributed with mean 0.1 and standard deviation 0.2. Portfolio Value is $100. a) Estimate 1-day 99% VaR a) Estimate 5-day 95% VaR b) Interpret the 1-day 99% VaR b) Interpret the 5-day 95% VaR Daily geometric returns are normally distributed with mean 0.1 and standard deviation 0.2. Portfolio Value is -$100. a) Estimate 1-day 99% VaR a) Estimate 5-day 95% VaR b) Interpret the 1-day 99% VaR b) Interpret the 5-day 95% VaR Daily arithmetic returns are distributed according to t-distribution with 5 degrees of freedom. Observed mean is 0.1 and standard deviation 0.2. Portfolio Value is $100. a) Estimate 1-day 99% VaR a) Estimate 5-day 95% VaR b) Interpret the 1-day 99% VaR b) Interpret the 5-day 95% VaR
Step by Step Solution
There are 3 Steps involved in it
Get step-by-step solutions from verified subject matter experts
Study Help