If the portfolio is 500,000, with the significance level of 1%, what would be the absolute value of the portfolio with the 99% confidence level? Refer to table above.
If the portfolio is 500,000, with the significance level of 1%, what would be the absolute value of the portfolio with the 99% confidence level? Refer to table above.
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Type only the answers please. Do not handwritten.
Transcribed Image Text:What is value at risk (VaR)?
According to Kenton 2019, the Value at Risk (VaR) is a statistical tool to
measure and quantifies the level of financial risk within a firm,
portfolio or position over a specific time frame, this tool is commonly
used by investment and commercial banks to determine the extent and
occurrence ratio of potential losses in their institutional portfolios.
Methods of Calculating Value at Risks (VaR)
Date
17-01-2020
Return/loss of portfolios
1.
-0.395%
2.
14-03-2020
-0.374%
3.
08-03-2020
-0.367%
4.
20-02-2020
-0.342%
5.
23-01-2020
-0.270%
6.
11-01-2020
-0.262%
7.
27-03-2020
-0.262%
8.
14-02-2020
-0.248%
9.
17-02-2020
-0.248%
10.
28-02-2020
-0.234%
11.
12-03-2020
-0.224%
12.
31-01-2020
-0.215%
There are 2 main methods of calculating VaR;
1. Historical Simulation Method- According to Risk Net, it is a
method of calculating Value at Risk (VaR) that uses historical
data to assess the impact of market moves on a portfolio.
Transcribed Image Text:If the portfolio is 500,000, with the significance level of 1%, what would
be the absolute value of the portfolio with the 99% confidence level?
Refer to table above.
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