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Calculate Daily and 10 day VaR and include an expected return greater than 0 Notional Daily % return Daily % vol Confidence VaR 10DayVaR Notional 10 Day % return 10 day % vol Confidence VaR $100,000.00 1% 1% 98% $ 100,000.00 0% 98% <- What is the daily VaR with the Daily Dollar Return subtracted off? <- What is the 10 day VaR? (Rescale the daily VaR) <- What is the 10 day vol with the 10 day % dollar return subtracted off? <- 10 day VaR using 10 day % vol directly.

Calculate Daily and 10 day VaR and include an expected return greater than 0 Notional Daily % return Daily % vol Confidence VaR 10DayVaR Notional 10 Day % return 10 day % vol Confidence VaR $100,000.00 1% 1% 98% $ 100,000.00 0% 98% <- What is the daily VaR with the Daily Dollar Return subtracted off? <- What is the 10 day VaR? (Rescale the daily VaR) <- What is the 10 day vol with the 10 day % dollar return subtracted off? <- 10 day VaR using 10 day % vol directly.

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
Problem 1PS
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Calculate Daily and 10 day VaR and include an expected return greater than 0 Notional $ 100,000.00 Daily % return Daily % vol 1% 1% Confidence 98% <- What is the daily VaR with the Daily Dollar Return subtracted off? <- What is the 10 day VaR? (Rescale the daily VaR) VaR 10DayVaR Notional $ 100,000.00 10 Day % return 0% 10 day % vol <- What is the 10 day vol with the 10 day % dollar return subtracted off? Confidence 98% VaR <- 10 day VaR using 10 day % vol directly. TRUE
Transcribed Image Text:Calculate Daily and 10 day VaR and include an expected return greater than 0 Notional $ 100,000.00 Daily % return Daily % vol 1% 1% Confidence 98% <- What is the daily VaR with the Daily Dollar Return subtracted off? <- What is the 10 day VaR? (Rescale the daily VaR) VaR 10DayVaR Notional $ 100,000.00 10 Day % return 0% 10 day % vol <- What is the 10 day vol with the 10 day % dollar return subtracted off? Confidence 98% VaR <- 10 day VaR using 10 day % vol directly. TRUE
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