1) Value at Risk (VaR)a) The loss distribution of an investment is shown below. What is the 99% VaR.Amount of Loss ProbabilityUSD 10 MillionUSD 13 Million75%22%3%US 17 millionb) What are the limitations of the VaR methodology?c) A portfolio has a normal loss distribution with a mean of $-200 and a variance of$300. What is the expected short fall? Assume a 99% loss distribution.d) Describe the RiskMetrics model for VaR.

a) 99 percent VAR actually indicates that the loss is projected to be more than the VAR amount in 1%…

Answered: 1) Value at Risk (VaR) a) The loss…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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