Suppose you hold a $1000 position in a stock and assume you have a sample of 30

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Suppose you hold a $1000 position in a stock and assume you have a sample of 30 daily returns on the stock with the sample mean 0.0008 and the sample standard deviation

0.1035. The smallest 10 observations in the sample are: 0.2117, 0.1996, 0.1618, 0.1477, 0.1343, 0.1254, 0.1028, 0.0812, 0.0565, 0.0561

(a) Find the 1-day Value-at-Risk (VaR) with 90% confidence using the nonparametric method.

(b) Find the 1-day VaR with 90% confidence using the parametric method.

Related Book For answer-question

Calculus

ISBN: 9781285057095

10th Edition

Authors: Ron Larson, Bruce H. Edwards

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Posted Date: May 12, 2024 05:34 AM

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Suppose you hold a $1000 position in a stock and assume you have a sample of 30

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a To find the 1day ValueatRisk VaR with 90 confidence using the nonparametric method we need to calc... View the full answer

Calculus

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