The Standard Bank Risk Executive Maharsh Boaz is discussing a case with you in which he...

 

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The Standard Bank Risk Executive Maharsh Boaz is discussing a case with you in which he outlines that the institution has a portfolio that consists of a single asset in the Middle East Stock Exchange. The return of the asset is normally distributed with mean return 20% and standard deviation 30%. The value of the portfolio today is US$100 million. He needs to quantify the risk of a potential loss for this portfolio by year end at a 95% confidence level. Critically discuss the method that you will recommend to him and how it should be administered. Your response should make use of relevant examples. The Standard Bank Risk Executive Maharsh Boaz is discussing a case with you in which he outlines that the institution has a portfolio that consists of a single asset in the Middle East Stock Exchange. The return of the asset is normally distributed with mean return 20% and standard deviation 30%. The value of the portfolio today is US$100 million. He needs to quantify the risk of a potential loss for this portfolio by year end at a 95% confidence level. Critically discuss the method that you will recommend to him and how it should be administered. Your response should make use of relevant examples.