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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5. Management of a home appliance store wants tounderstand the growth pattern of the monthly sales of a new technology device over the past two years.The managers have recorded the relevant data inthe file P13_05.xlsx. Have the sales of this devicebeen growing linearly over the past 24 months? Byexamining the results of a linear trend line, explainwhy or why not.
7
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A statistical program is recommended. A company that sells musical instruments has been in business for five years. During that time, sales of pianos increased from 13 units in the first year to 77 units in the most recent year. The firm's owner wants to develop a forecast of piano sales for the coming year. The quarterly sales data follow. Year Quarter 1 Quarter 2 Quarter 3 Quarter 4 Total YearlySales 1 5 2 1 5 13 2 7 4 4 14 29 3 11 3 5 16 35 4 12 9 7 22 50 5 19 10 13 35 77 (a) Deseasonalize the data. (Round your answers to four decimal places.) Year Quarter Sales Adjusted Deseasonalized Seasonal Sales Index 1 1 5 1.3407 1 2 2 0.5998 1 3 1 0.4842 1 4 5 1.5753 2 1 7 1.3407 2 2 4 0.5998 2 3 4 0.4842 2 4 14 1.5753 3 1 11 1.3407 3 2 3 0.5998 3 3 5 0.4842 3 4 16 1.5753 4 1 12 1.3407 4 2 9 0.5998 4 3 7 0.4842 4 4 22 1.5753 5 1 19 1.3407 5 2 10 0.5998 5 3…
A statistical program is recommended. A company that sells musical instruments has been in business for five years. During that time, sales of pianos increased from 13 units in the first year to 77 units in the most recent year. The firm's owner wants to develop a forecast of piano sales for the coming year. The quarterly sales data follow. Year Quarter 1 Quarter 2 Quarter 3 Quarter 4 Total YearlySales 1 5 2 1 5 13 2 6 4 4 14 28 3 11 3 5 16 35 4 12 9 7 22 50 5 19 10 13 35 77 (a) Use the following dummy variables to develop an estimated regression equation to account for any seasonal and linear trend effects in the data: x1 = 1 if quarter 1, 0 otherwise; x2 = 1 if quarter 2, 0 otherwise; and x3 = 1 if quarter 3, 0 otherwise. (Let t = 1 denote the time series value in quarter 1 of year 1; t = 2 denote the time series value in quarter 2 of year 1; and t = 20 denote the time series value in quarter 4 of year 5. Round your numerical values to two decimal places.) t =…
Peanut Jar Data: 11.94 11.74 12.25 11.32 11.85 11.86 11.59 12.15 11.76 11.55 12.31 12.59
Approximate the measures of center for following GFDT. Data Frequency 40 - 44 13 45 - 49 18 50 - 54 12 55 - 59 60 - 64 2 Report mode and median accurate to one decimal place. Report the mean accurate to two decimal places (or enter as a fraction). (a) mode = %3D (b) median = (c) mean
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Suppose your expectations regarding the stock price are as detailed in the table below. Compute the mean and standard deviation of the holding period returns on stocks. State of the Market Probability Ending Price HPR (including dividends)Boom 0.23 $140 52.0%Normal growth 0.24 $110 19.0% Recession 0.53 $80 −11.5%
3.Which model do you think is the “best” reduced model? Discuss why you choose this model. Analysis of Variance Table (Step back model) Response: rent Df Sum Sq Mean Sq F value Pr(>F) age 1 21000 21000 17.1136 0.0003079 *** sqft 1 35364 35364 28.8196 1.134e-05 *** sd 1 5961 5961 4.8576 0.0362339 * unts 1 8678 8678 7.0722 0.0130049 * gar 1 33364 33364 27.1899 1.713e-05 *** cp 1 7641 7641 6.2269 0.0189934 * Residuals 27 33131 1227 --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Step forward model: Response: rent Df Sum Sq Mean Sq F value Pr(>F) age 1 21000 21000 16.6255 0.000406 *** sqft 1 35364 35364 27.9976 1.757e-05 *** sd 1 5961 5961 4.7191 0.039517 * unts 1 8678 8678 6.8705 0.014697 * gar 1 33364 33364 26.4144 2.599e-05 *** cp 1 7641 7641 6.0493 0.021176 *…
Explain the conceptual significance of odds in logistic regression. of P(Y=1) is 0.60 calculate odds. For what value of P(Y-1), will the odds be 1? The graph for probabilities of logistic distribution can explain the consumer behavior and reducing rate of marginal utility. Do you agree? Explain with a diagram
True or False? If False, explain: a) The sample is the group of people on whom we wish to draw statistical interference. b) The Mean Square Error from a regression model is an example of a descriptive statistic. c) Getting enough power (so that we are able to conclude a non-zero slope in a scenario where the true slope is non-zero) is achieved primarily by increasing sample size.

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