Based on a 90% confidence level, how many exceptions in backtesting a VAR would be expected over a 250-day trading year? a. 10 b. 15 c. 25 d. 50
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Based on a 90% confidence level, how many exceptions in backtesting a VAR would be expected over a 250-day trading year?
a. 10
b. 15
c. 25
d. 50
Continuing with the previous question, what is the annualized
a. 9.8%
b. 8.9%
c. 39.1%
d. 35.7%
Step by step
Solved in 2 steps
- View Policies Current Attempt in Progress Calculate the correlation coefficient (PA) for the following situation: (Round intermediate calculations and the final answer to 4 decimal place, e.g. 0.2921.) State of the economy High growth Moderate Recession Probability of Expected return on occurrence stock A in this state 47.0% 26.0% -14.0% 25% 20% 55% Correlation coefficient Expected return on stock B in this state 64.0% 34.0% -24.0%Calculate the correlation coefficient (PAB) for the following situation: (Round intermediate calculations and the final answer to 4 decimal place, e.g. 0.2921.) State of the economy High growth Moderate Recession Probability of occurrence 30% 25% 45% Correlation coefficient Expected return on stock A in this state 44.5% 23.5% -11.5% Expected return on stock B in this state 61.5% 31.5% -21.5%Calculate the correlation coefficient (PAB) for the following situation: (Round intermediate calculations and the final answer to 4 decimal place, e.g. 0.2921.) State of the Probability of Expected return on Expected return on economy occurrence stock A in this state stock B in this state High growth 30% 39.5% 56.5% Moderate 25% 18.5% 26.5% Recession 45% -6.5% -16.5% Correlation coefficient
- 470 - 35 you have concluded that the following relationships are possible next year: economic status probability rate of return weak economy .15 -5% static economy .6 5% strong economy .25 15% What is the standard deviation of the rate of return for the one year period? a. .65 % b. 1.45% c. 4% d. 6.25% e. 6.4%An investment had a nominal return of 10.6percent last year. If the real return on investment was only 6.3 percent, what was the inflation rate for the year? a. 17.57% b. 3.89% c. 10.73% d. 4.49%Manshuk
- You estimate that an investment of yours has generated a nominal rate of return of 14% p.a. Over that same period of time, inflation has increased at a rate of 4% p.a. Which of the following is closest to your real rate of return p.a.? Group of answer choices 9.62% 17.52% 11.76% 8.65%Following are four economic states, their likelihoods, and the potential returns: Probability 0.22 Economic State Fast growth Slow growth Recession Depression 0.52 0.19 0.07 Expected return Standard deviation Compute the expected return and standard deviation. Note: Do not round intermediate calculations and round your answers to 2 decimal places. Return 76% 18 -18 -52 % %Unbiased Expectations Theory Suppose that the current one-year rate (one-year spot rate) and expected one-year T-bill rates over the following three years (i.e., years 2, 3, and 4, respectively) are as follows 1R1=4.35%, E(2r1) =5.35%, E(3r1) =5.85%, E(4r1)=6.20% Using the unbiased expectations theory, what is the current (long-term) rate for four-year-maturity Treasury securities?
- Which alternative offers you the lowest effective rate of return? APR Compounding a. 6.9030% Annual b. 6.6992% Daily c. 6.7787% Quarterly d. 6.7643% MonthlyGiven correct answer accountingGiven the following information about past returns for Saphir Netmarketing, what is the standard deviation of returns? Year Return 1 12.00% 8.30% 3 -4.70% 4 -0.90% 5.70% O Type here to search