What is the 5-day 99% VaR

Q: Consider $10m invested in a stock. The annual volatility of the rate of return is 25%. Assuming that…

A: Note: Since we only answer up to 3 sub-parts, we’ll answer the first 3. Please resubmit the question…

Q: You invest in a stock for four years. The returns for the four years are 20%, -10%, 15%, and -5%.…

A: Arithmetic Average return refers to the return on an investment which takes into consideration the…

Q: None

A: EXCEL WORKINGS:Formulas:Step 1:1. Expected Returns:The expected return (ER) is the average of the…

Q: A stock price is $20. It has an expected return of 12% and a volatility of 35%. What is the standard…

A: The objective of the question is to calculate the standard deviation of the change in the price of a…

Q: what is inflation if the real risk-free rate is 7%?

A: Inflation refers to the state in which the prices of the goods and services increases as compare to…

Q: A stock is expected to pay a dividend of $1.26 at the end of the year. The required rate of return…

A: Formula: Current stock = Expected dividend/(Required rate - Growth rate)

Q: Consider a stock, the current price (So) of which is $30. We model stock-price evolution using a…

A: The four-step binomial model is a mathematical model used to approximate the price of an option by…

Q: Consider the following information on a particular stock: Stock price = $89 Exercise price = $85…

A: We have to use the blackscholes model of calculating option prices and other values. I will be…

Q: If the volatility of a non-dividend-paying stock is 20% per year and a risk-free rate is 5% per…

A: Here, Particulars Values Volatility 20% Risk-free rate 5% Time period  3 Total number of…

Q: Y shares have a monthly average return of 1% and a monthly return standard deviation of 6%. Returns…

A: A normal distribution, also known as a Gaussian distribution or bell curve, is a probability…

Q: The last four years of returns for a stock are as follows: 2 28.5% Year Return 1 -3.7% 3 11.7% a.…

A: Average annual retrun can be compute by using the following formulaAverage annual retrun (R) = Total…

Q: The market portfolio of stocks increases in value by​ 1.8%. You have a stock with a beta of​ -0.2.…

A: The objective of this question is to calculate the percentage change in the price of a stock given…

Q: Please conduct the computation based on the following materials. What is the standard deviation of…

A: Standard deviation of portfolio consisting of three assets With weight of asset 1 (W1), weight of…

Q: Construct a market weighted index using 3 stocks below over a one year period to find the index…

A: Assume the index at T0 is 100. Hence

Q: Consider an investor had a portfolio of $10 million bonds in a long position suppose the confidence…

A: Value at Risk (VAR) is used to quantify the risk which emerges due to movement in prices or returns…

Q: 2. Distribution of Stock Prices Consider a stock whose current stock price is $250 and its…

A: d= [Current stock price*(1-volatility of stock)]/ current stock price. =[250*(1-0.20)]/250 = 0.80…

Q: The figure in the popup window.. shows the one-year return distribution for RCS stock. Calcula a.…

A: The expected return of a probability distribution is the sum product of probability with its…

Q: 3. A portfolio has an expected return of 8% and an annualized return standard deviation (i.e.,…

A: Calculation of the portfolio's 4-year Value at Risk (VaR) using a single-tail test,1. Calculate the…

Q: A stock has the following returns over a 3 year period: 25%, -4%, 8%. What is this stock's geometric…

A: Geometric Average Return is the actual annual return of an investment earned during a certain period…

Q: Consider the following information on a particular stock: Stock price = $88 Exercise price = $84…

A: Given Data:S = Current stock price  K = Strike price (exercise price) r = Risk-free annual interest…

Q: KA portfolio consisting of four stocks is expected to produce returns of 9%, -11%, 13% and 17%,…

A: YearExpected returns19%2-11%313%417%

Q: The average returns on a portfolio of stocks are normally distributed. The average annual return is…

A: Mean return=8.25%Standard deviation=4.5%Given return=5.25%Calculate Z score and probability

Q: Consider a stock whose current price is $100 and volatility is 20% p.a. The stock is expected to pay…

A: An option is a type of financial instrument that is based on the value of underlying securities,…

Q: uppose that the simple annual returns on an investment over a 3-year period are: 8%, 2%, and 12%.…

A: Put option gives the opportunity to sell stock on the expiration but there is no obligation to do…

Q: Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e.,…

A: The Binomial Option Pricing Model (BOPM) relies on discretizing the possible stock price movements…

Q: onsider the following information on a particular stock: Stock price = $88 Exercise price = $84…

A: Call option gives opportunity to buy stock on expiration but there is no obligation to do that any…

Q: The​ risk-free rate is 3.7% and you believe that the​ S&P 500's excess return will be 11​% over the…

A: CAPM or Capital Asset Pricing Model is the formula that represents the relationship between the…

Q: A stock is expected to pay a dividend of $1.99 at the end of the year. The required rate of return…

A: As per the  dividend discount model , the value of the company stock is the instrinsic value or the…

Q: The last four years of returns for a stock are as follows: Year Return 1 - 4.3% 2 28.1% 3 11.6% a.…

A: Stock returns:Stock returns refer to the financial gains or losses that an investor experiences…