Assume a portfolio is currently worth $250 million. If the portfolio has volatility of 12 percent and
Question:
Assume a portfolio is currently worth $250 million. If the portfolio has volatility of 12 percent and a holding period of 15 business days, what is the VaR estimate with 97.5 percent confidence? Now assume the portfolio has volatility of 35 percent, what is the VaR estimate? Interpret the results. Discuss the difference in the estimates obtained.
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VaR or ValueatRisk is a risk management tool that measures and quantifies the level of financial risk within a firm portfolio or position over a speci...View the full answer
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