The change in the value of a portfolio in 10 days is normally distributed with a mean of (i) GHS500,000 and (ii) GHS0 (zero). The standard deviation is GHS3 million in each case. Calculate the VaR (for both cases) for a confidence level of 99% and a time horizon of 10 days. Deduce the daily VaR.
The change in the value of a portfolio in 10 days is normally distributed with a mean of (i) GHS500,000 and (ii) GHS0 (zero). The standard deviation is GHS3 million in each case. Calculate the VaR (for both cases) for a confidence level of 99% and a time horizon of 10 days. Deduce 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
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a) The change in the value of a portfolio in 10 days is normally distributed with a
mean of (i) GHS500,000 and (ii) GHS0 (zero). The standard deviation is GHS3
million in each case. Calculate the VaR (for both cases) for a confidence level of
99% and a time horizon of 10 days. Deduce the daily VaR.
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