VAR or value at risk is the maximum amount of loss that can happen to a portfolio at a certain confidence inrterval for a particular period of time.
VAR at 95% implies that in 95% of the cases daily loss will be at max $1.1 million and monthly loss will be at max $ 5.37 million.
so the remaining 5% times the loss can exceed $ 1.1 million or $ 5.37 million as the case may be.
Hence the answer will be option 2, a loss over one month equal to or exceeding $ 5.37 million 5% of the time.
1 points se QUESTION 1 Tina Ming is a senior portfolio manager at Flusk Pension Fund...
QUESTION 4 1 points Save Answer 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:...
[10:10 AM, 3/31/2020] M: 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 Portfolio VaR...
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...