What is the one-day 95% VaR (value at risk) and the ES (expected shortfall)?
p = 1/24 for −12 ≤ π ≤ 0
p = 1 /20 for 0 ≤ π ≤ +10
The function is described as
one-day 95% VaR (value at risk) is defined as
here,
What is the one-day 95% VaR (value at risk) and the ES (expected shortfall)? p =...
2. What is the difference between expected shortfall and value at risk? What is the theoretical advantage of expected shortfall over value at risk?
What difference does volatility scaling make on estimating the VaR and expected shortfall when we use historical simulation?
Value at Risk (VAR) has become a key concept in financial calculations. The VAR of an investme nt is define as that value v such that there only a 1 percent chance that the liss from the investment will be greater than v. a). If the gain from an investment is a normal random variable with mean 10 and variance 49 determine the VAR. ( If X is the gain, then -X is the loss). d). Among a set of...
1. var s = "A red boat"; var a = s.split(" "); what is the value of a? var b = [9, 3, 2, 1, 3, 7]; var c = b.slice(2, 5); What is the value of c? var d = c.concat(a); alert(d.join("**")); [ 'A', 'red' , 'boat'] [ 2 , 1, 3] 2**1**3**A**red**boat [ 'A', 'red' , 'boat'] [ 1 , 3, 7] 8**A**red**boat [ 'A', 'red' , 'boat'] [ 3 , 2, 1] A**red**boat [ 'A', 'red' ,...
Exercise 4 (15 points) Suppose that each of two investments has a 1.5% chance of a loss of $5 million, a 4.5 % chance of a loss of 2 million, and a 94% chance ofa profit of $2 million. They are independent of each- other. a. What is the one-day VaR for one of the investments when the confidence level is 95%? 99%? (5 points) b. What is the 10-day VaR when the confidence level is 95 % ? (3...
1)Illustrate the process of using Historical Simulation Method in computing Value at Risk (VaR) under 99% confidence level and over 1-day. 2) Discuss advantages and drawbacks of using Historical Simulation methodology in computing VaR. 3) Illustrate the process of using Monte Carlo Simulation Method in computing Value at Risk (VaR) under 99% confidence level and over 1-day. 4) Discuss advantages and drawbacks of using Monte Carlo Simulation in computing VaR.
Value at Risk (VaR) is used to describe the worst-case scenario over some time horizon with a specific probability. Suppose that an investment on a stock is expected to grow during the year by 10% with SD 35%. Assume a normal model for the change in value. What is the VaR for an investment of $500,000 at 5%?
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.
In finance, the acronym VaR does not stand for variance; it means “value at risk.” Imagine that you manage the $1 million portfolio of a wealthy investor. The portfolio is expected to average 10% growth over the next year with standard deviation 30%. Let’s convey the risk of this investment using the VaR that excludes the worst 5% of the scenarios. In other words, there is a 5% chance of losing a specific sum of money. What is this sum?...
Problem 1 Let X be a RV with expected value E{X} = 0 and variance Var{x} = 1. In Chebyshev inequality, what integer value k will assure us that P{]X[ > k} = 0.01?