Yousef, the risk management officer at Socit Gnrale Bank, is interested in calculating the VaR of a
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Question:
Yousef, the risk management officer at Société Générale Bank, is interested in calculating the VaR of a commodity that he is considering adding to the bank’s portfolio. If the asset has a daily standard deviation of returns equal to 1.4% and the asset has a current value of $5.3 million, calculate the following:
A. 1-day 5% VaR on both a percentage and dollar basis.
B. 10-day 1% dollar VaR
C. Annual 1% dollar VaR
Related Book For
Applied Regression Analysis and Other Multivariable Methods
ISBN: 978-1285051086
5th edition
Authors: David G. Kleinbaum, Lawrence L. Kupper, Azhar Nizam, Eli S. Rosenberg
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