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?
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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