The change in the value of a portfolio in one month is normally distributed with a...

 

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The change in the value of a portfolio in one month is normally distributed with a mean of zero and a standard deviation of $4.5 million. Note the confidence level is 96.5% and a time horizon is of five months. a) Calculate the following: 1) Value at Risk (4 marks) ii) Expected Shortfall for the portfolio (4 marks) I b) Explain your answers in relation to i) and ii) above (2 marks) The change in the value of a portfolio in one month is normally distributed with a mean of zero and a standard deviation of $4.5 million. Note the confidence level is 96.5% and a time horizon is of five months. a) Calculate the following: 1) Value at Risk (4 marks) ii) Expected Shortfall for the portfolio (4 marks) I b) Explain your answers in relation to i) and ii) above (2 marks)

Answer rating: 100% (QA)

a i Value at Risk VaR To calculate the Value at Risk at a 965 confidence level we need to find the z... View the full answer