Scenario: Suppose a financial institution holds a well diversified $35,500,000 position in stocks. The variance of this position in relation to the overall S&P is equal to 1.95. Over the past year the average daily variation of the S&P is 160 basis points with standard deviation of 80 basis points. The z-score is 1.96. What is the stock value change that corresponds to a 95% probability that no stock changes will exceed this value? 162.574 basis points 465.76 basis points 132 basis points Q292 basis points
Scenario: Suppose a financial institution holds a well diversified $35,500,000 position in stocks. The variance of this position in relation to the overall S&P is equal to 1.95. Over the past year the average daily variation of the S&P is 160 basis points with standard deviation of 80 basis points. The z-score is 1.96. What is the stock value change that corresponds to a 95% probability that no stock changes will exceed this value? 162.574 basis points 465.76 basis points 132 basis points Q292 basis points
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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![Scenario: Suppose a financial institution holds a well diversified
$35,500,000 position in stocks. The variance of this position in
relation to the overall S&P is equal to 1.95. Over the past year
the average daily variation of the S&P is 160 basis points with a
standard deviátion of 80 basis points. The z-score is 1.96.
What is the stock value change that corresponds to a 95%
probability that no stock changes will exceed this value?
O 162.574 basis points
465.76 basis points
132 basis points
O 292 basis points](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F1073d4cd-a261-47ae-82e4-8c3cc63a607f%2Fd846a459-7e53-4f7c-96e8-c9046021d706%2Fzs1mqt_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Scenario: Suppose a financial institution holds a well diversified
$35,500,000 position in stocks. The variance of this position in
relation to the overall S&P is equal to 1.95. Over the past year
the average daily variation of the S&P is 160 basis points with a
standard deviátion of 80 basis points. The z-score is 1.96.
What is the stock value change that corresponds to a 95%
probability that no stock changes will exceed this value?
O 162.574 basis points
465.76 basis points
132 basis points
O 292 basis points
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