Calculate the 1 day VAR at 95% confidence level [1.645 standard deviation] for a portfolio consisting...
Calculate the 1 day VAR at 95% confidence level [1.645 standard deviation] for a portfolio consisting only of Argosy Plc stock with a total market value of USD25 Million. Assume an annual volatility of around 35% p.a. and that there are 252 trading days in a year.
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Calculate the 1 day VAR at 95% confidence level [1.645 standard
deviation] for a portfolio consisting...
Assume a portfolio consisting of only 10,000 shares in ABC Corporation and the share price is USD2.05. Annual volatility...
Assume a portfolio consisting of only 10,000 shares in ABC Corporation and the share price is USD2.05. Annual volatility of ABC shares has been around 15% p.a. and there are 252 trading days in a year. What is the 1-day VAR at 95% confidence level or 1.645 σ.
VaR Example 1 Suppose that an investor's portfolio consists entirely of $10,000 worth of IBM stock. Assume that the standard deviation of the stock's returns are 0.0189 (1.89%) per day The in...
VaR Example 1 Suppose that an investor's portfolio consists entirely of $10,000 worth of IBM stock. Assume that the standard deviation of the stock's returns are 0.0189 (1.89%) per day The investor wants to know his portfolio's VaR over the coming trading day at the 95% confidence level VaR Example 2 Assume that a $100,000 portfolio contains $60,000 worth of Stock A and $40,000 worth of Stock B Given the following data, compute the VaR of this portfolio with a...
1 day VaR of a portfolio is $500,000 with 95% confidence level. In a period of...
1 day VaR of a portfolio is $500,000 with 95% confidence level. In a period of six months (125 working days) how many times the loss on the portfolio may exceed $500,000? A. 4 days B. 5 days C. 6 days D. 7 days E. none of the above
2. 2. Calculate the standard deviation and return of portfolio consisting of 60% of Security A...
2.
2. Calculate the standard deviation and return of portfolio consisting of 60% of Security A and 40% of Security B. Assume correlation coefficient between stock A and stock B is 0.55. Interpret the benefit of portfolio over individual stock investment (in case of security A and B). Year Security A return(% Security B return(%) 20 2015 2016 2017 2018 2019
Calculate the Standard Deviation of a portfolio consisting of 25% stock A and 75% stock B....
Calculate the Standard Deviation of a portfolio consisting of 25% stock A and 75% stock B. Stock SD Corr A,B = 0.24 A 30% B 50% NOTE: the correct answer is 39.97%, but I am more interested in the correct formula and process of solving the question. Please show all work and calculations, Thank you!
QUESTION 1 In constructing a 95% confidence level estimate of the mean when the population standard...
QUESTION 1 In constructing a 95% confidence level estimate of the mean when the population standard deviation () is known what will be your score used in the formula? QUESTION 2 In constructing a 99% confidence level estimate of the mean when the population standard deviation (a) is known what will be your score used in the formula? HINT. Be sure to review page 236 "Finding Z scores from Known Areas - Special Cases and Tabel A-2. QUESTION 3 In...
Calculate the standard deviation of a portfolio consisting of 40 percent stock X and 60 percent...
Calculate the standard deviation of a portfolio consisting of 40 percent stock X and 60 percent stock Y. Round to the nearset hundredth percent. Answer in the percent format. Do not include % sign in your answer (i.e. If your answer is 4.33%, type 4.33 without a % sign at the end.) Company Beta Expected Return Variance Covariance X 1.8 0.18 0.30 COVX,Y = 0.080 Y 2.6 0.22 0.04
one can calculate the 95% confidence interval for the mean with the population standard deviation knowing...
one can calculate the 95% confidence interval for the mean with the population standard deviation knowing this gives us an upper and lower confidence limit what happens if we decide to calculate the 99% confidence interval describe how the increase in the confidence level has changed the width of the confidence interval the same for the confidence interval set at 80% including example with actual numeric value for the intervals and you're supposed to help with your explanations
answer fast as you can Cerra Co. expects to receive 22 million euros tomorrow as a result of selling goods to the Netherlands. Cerra estimates the standard deviation of daily percentage changes of th...
answer fast as you can
Cerra Co. expects to receive 22 million euros tomorrow as a result of selling goods to the Netherlands. Cerra estimates the standard deviation of daily percentage changes of the curo to be 3.5 percent over the last 262 days. Assume that these percentage changes are normally distributed. The expected percentage change of the euro tomorrow is 0.09%. Use the value-at-risk VAR) method based on a 95% confidence level for the following question(s) What is the...
QUESTION 2 1 points Save a Tina Ming is a senior portfolio manager at Flusk Pension...
QUESTION 2 1 points Save a Tina Ming is a senior portfolio manager at Flusk Pension Fund (Flusk). Flusk's portfoliois composed of fixed Income instruments structured to match Flusk's liabilities. Mingworks with Shrikant McKee, Flusk's risk analyst.Ming and McKee discuss the latest risk report. McKee calculated value at risk (VaR)for the entire portfolio using the historical method and assuming a lookback period offive years and 250 trading days per year. McKee presents VaR measures in Exhibit 1. Exhibit 1: Flusk...
VaR Example 1 Suppose that an investor's portfolio consists entirely of $10,000 worth of IBM stock. Assume that the standard deviation of the stock's returns are 0.0189 (1.89%) per day The investor wants to know his portfolio's VaR over the coming trading day at the 95% confidence level VaR Example 2 Assume that a $100,000 portfolio contains $60,000 worth of Stock A and $40,000 worth of Stock B Given the following data, compute the VaR of this portfolio with a...
2.
2. Calculate the standard deviation and return of portfolio consisting of 60% of Security A and 40% of Security B. Assume correlation coefficient between stock A and stock B is 0.55. Interpret the benefit of portfolio over individual stock investment (in case of security A and B). Year Security A return(% Security B return(%) 20 2015 2016 2017 2018 2019
QUESTION 1 In constructing a 95% confidence level estimate of the mean when the population standard deviation () is known what will be your score used in the formula? QUESTION 2 In constructing a 99% confidence level estimate of the mean when the population standard deviation (a) is known what will be your score used in the formula? HINT. Be sure to review page 236 "Finding Z scores from Known Areas - Special Cases and Tabel A-2. QUESTION 3 In...
answer fast as you can
Cerra Co. expects to receive 22 million euros tomorrow as a result of selling goods to the Netherlands. Cerra estimates the standard deviation of daily percentage changes of the curo to be 3.5 percent over the last 262 days. Assume that these percentage changes are normally distributed. The expected percentage change of the euro tomorrow is 0.09%. Use the value-at-risk VAR) method based on a 95% confidence level for the following question(s) What is the...
QUESTION 2 1 points Save a Tina Ming is a senior portfolio manager at Flusk Pension Fund (Flusk). Flusk's portfoliois composed of fixed Income instruments structured to match Flusk's liabilities. Mingworks with Shrikant McKee, Flusk's risk analyst.Ming and McKee discuss the latest risk report. McKee calculated value at risk (VaR)for the entire portfolio using the historical method and assuming a lookback period offive years and 250 trading days per year. McKee presents VaR measures in Exhibit 1. Exhibit 1: Flusk...
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