a) Assume a bank has a portfolio of stocks with a current market value of $4,000,000. If the recent volatility of the portfolio, as measured by the standard deviation, is 3.3%, what is the estimated 10-day value at risk (VAR) using a 95% level of confidence. Assume the returns are normally Another bank has a long position of £3,000,000 in British pounds. The current exchange rate is $1.25/£. What is the 10-day VAR using a 95% level of confidence if the standard deviation has been estimated at 40 basis points? Explain both results
a) Assume a bank has a portfolio of stocks with a current market value of $4,000,000. If the recent volatility of the portfolio, as measured by the standard deviation, is 3.3%, what is the estimated 10-day value at risk (VAR) using a 95% level of confidence. Assume the returns are normally Another bank has a long position of £3,000,000 in British pounds. The current exchange rate is $1.25/£. What is the 10-day VAR using a 95% level of confidence if the standard deviation has been estimated at 40 basis points? Explain both results
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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a) Assume a bank has a portfolio of stocks with a current market value of $4,000,000. If the recent volatility of the portfolio, | ||||||||||
as measured by the standard deviation, is 3.3%, what is the estimated 10-day value at risk (VAR) | ||||||||||
using a 95% level of confidence. Assume the returns are normally | ||||||||||
Another bank has a long position of £3,000,000 in British pounds. The current exchange rate is $1.25/£. | ||||||||||
What is the 10-day VAR using a 95% level of confidence if the standard deviation has been estimated at 40 basis points? | ||||||||||
Explain both results | ||||||||||
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