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Risk management

b) ABC ltd is a financial institution in the country. The financial analyst of ABC ltd has observed that the daily return distribution of the company is normally distributed with an expected return of 12 % and a standard deviation of 17 % and the portfolio value is GHȻ1,250,000.  Calculate the monthly (20days) VaR (5%), using delta-normal approach, for this portfolio and explain your answer. [4 marks]

c) Explain how these theories explain the shape the yield curve 

i)      Market Expectations Theory                                                 [3 marks]

ii) Liquidity Preference Theory  


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