The value at Risk of the portfolio at first percentile Introduction: Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

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Answer 1

Question

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

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Dani Corporation has 3.4 million shares of common stock outstanding. The current share price is $84.50, and the book value per share is $8.75. The company also has two bond issues outstanding. The first bond issue has a face value of $71 million, a coupon rate of 5.1 percent, and sells for 95.5 percent of par. The second issue has a face value of $43 million, a coupon rate of 5.7 percent and sells for 104.5 percent of par. The first issue matures in 21 years, the second in 9 years. The most recent dividend was $3.98 a the dividend growth rate is 4.1 percent. Assume that the overall cost of debt is the weighted average of that implied by the two outstanding debt issues. Both bonds make semiannual payments. The tax rate is 21 percent. What is the company's cost of equity? Note: Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16. Cost of equity % What is the company's aftertax cost of debt? Note: Do not round intermediate…

Answer 2

Question

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

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Answer 3

Question

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

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Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

Answer 4

Question

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

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Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

Answer 5

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

Answer 6

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

Answer 7

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Answer 8

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Answer 9

Expert Solution & Answer

Answer 10

Expert Solution & Answer

Answer 11

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

Answer 12

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