Calculate Daily and 10 day VaR and include an expected return greater than 0 Notional $ 100,000.00 Daily % return 1% Daily % vol 1% Confidence 98% VaR <- What is the daily VaR with the Daily Dollar Return subtracted off? 10DayVaR <- What is the 10 day VaR? (Rescale the daily VaR)
Calculate Daily and 10 day VaR and include an expected return greater than 0 Notional $ 100,000.00 Daily % return 1% Daily % vol 1% Confidence 98% VaR <- What is the daily VaR with the Daily Dollar Return subtracted off? 10DayVaR <- What is the 10 day VaR? (Rescale the daily VaR)
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. The step that confuses me most is how to properly subtract the daily dollar return?
![Calculate Daily and 10 day VaR and include an expected return greater than 0
Notional
$ 100,000.00
Daily % return
1%
Daily % vol
1%
Confidence
98%
VaR
<- What is the daily VaR with the Daily Dollar Return subtracted off?
10DayVaR
<- What is the 10 day VaR? (Rescale the daily VaR)
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.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fcb276f28-43e3-4337-ab50-979c7b13f493%2F07dc829a-7033-4cef-8b57-5bc3a3ecf3cf%2Fl0r5da9_processed.png&w=3840&q=75)
Transcribed Image Text:Calculate Daily and 10 day VaR and include an expected return greater than 0
Notional
$ 100,000.00
Daily % return
1%
Daily % vol
1%
Confidence
98%
VaR
<- What is the daily VaR with the Daily Dollar Return subtracted off?
10DayVaR
<- What is the 10 day VaR? (Rescale the daily VaR)
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.
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