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.   A $252,982.21   B $1,316,000.00   C $416,155.74     D $1,215,805.47

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
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  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.

      A

    $252,982.21

      B

    $1,316,000.00

      C

    $416,155.74

     

      D

    $1,215,805.47

     

Expert Solution
Given:

Here,

Value of Portfolio is $2,000,000

Expected Annual Volatility is 4%

Holding Period is 10 days

Confidence Interval Level is 95%

Here,

Z Score at 95% confidence interval will be 1.645 as per normal distribution table.

 

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