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Assume a bank has a stock portfolio worth $ 2 million with an expected annual volatility of 4%. What is the Value at Risk using a 95 level of confidence? Assume N=10 for holding the period. $252,982.21 $1,316,000.00 $416,155.74 $1,215,805.47

Assume a bank has a stock portfolio worth $ 2 million with an expected annual volatility of 4%. What is the Value at Risk using a 95 level of confidence? Assume N=10 for holding the period. $252,982.21 $1,316,000.00 $416,155.74 $1,215,805.47

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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QUESTION 3

  1. Assume a bank has a stock portfolio worth $ 2 million with an expected annual volatility of 4%. What is the Value at Risk using a 95 level of confidence? Assume N=10 for holding the period.

       

    $252,982.21
       

    $1,316,000.00
       

    $416,155.74

     
       

    $1,215,805.47

     

    QUESTION 4

    1. A bank holds 10-year 8% coupon Treasury bonds with a face value of $1,000,000. The current market rate is 7%. What is the 10-day VAR if the standard deviation is estimated at 35 basis points?      Use a 99% level of confidence (z=2.33) and traditional pricing.

         

      57,752.03
         

      182,627.94

       
         

      $41,215.41

       
         

      $62,226.27
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