Calculate the var for the given situations

Assignment Help Risk Management

Reference no: EM13925654

Calculate the VAR for the following situations:

a. Use the analytical method and determine the VAR at a probability of 0.05 for a portfolio in which the standard deviation of annual returns is $2.5 million. Assume an expected return of $0.0.

b. Use the historical method and the following information for the last 120 days of returns to calculate an approximate VAR for a portfolio of $20 million using a probability of 0.05:

Less than -0%	5
-10% to -5%	18
-5% to 0%	42
0% to 5%	36
5% to 10%	15
Greater than 10%	4

Reference no: EM13925654

Questions Cloud

Find the var for one year at the given probability : Find the VAR for one year at a probability of 0.05. Identify and use the most appropriate method given the information you have. Using the information you obtained in part a, find the VAR for one day.

Company record its expenses incurred to generate the revenue : The rule that requires financial statements to reflect the assumption that the business will continue operating instead of being closed or sold, unless evidence shows that it will not continue, is the:

Confidence interval as reported in the article : Give the confidence interval as reported in the article. Is the reported interval in the form of an interval or is it in the form of estimate ± margin of error? If it is not in interval form, state it in interval form.

What expenditure for advertising will yield a maximum profit : The height, h(x), of a punted rugby ball is given by where x is the horizontal distance in feet from the point where the ball is punted. How far, horizontally, is the ball from the kicker when it is at its highest point?

Calculate the var for the given situations : Calculate the VAR for the following situations: Use the analytical method and determine the VAR at a probability of 0.05 for a portfolio in which the standard deviation of annual returns is $2.5 million.

Gestalt principles of perceptual organization : Write a 300- to 400-word reflection on the main influences on Gestalt psychology and how they contributed to its development. Include an example of each of the Gestalt Principles of Perceptual Organization.

What is the expected bonus to be paid : Assuming that his rushing performance follows a normal distribution with a mean of 750 yards and a standard deviation of 320 yards, what is his expected bonus to be paid? [the answers are rounded so choose the closest answer to what you calculate]..

Tress company produces shampoo : Nutri-Tress Company produces shampoo in individual-use bottle for hotels. Each bottle sells for $0.36. The variable costs for each bottle (materials, labor, and overhead) total $0.27.

What amount of interest expense was reported : What amount of total liabilities was reported on the December 31, 2013, balance sheet?

User Account

All Pages