Question: Use the table below at the given level of accuracy: Critical values for VaR calculations. z 10% 1.282 5 1.645 1 2.326 Diamond Inc. is
Use the table below at the given level of accuracy:
Critical values for VaR calculations.
|
| z |
| 10% | 1.282 |
| 5 | 1.645 |
| 1 | 2.326 |
Diamond Inc. is an investment company. One of its portfolios has a current market value of $95,000,000 and its returns follow a normal distribution with a mean of 9% and a standard deviation of 18% per year. At a 90% confidence level
a. What is the portfolio VaR?
$
Round your answer to the dollar. Do NOT use negative sign!
b. What is the the minimum value of the portfolio during the next year?
$
Round your answer to the dollar
c. What is the portfolio ES?
$
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