Calculate value at risk, Calculate Value at Risk at the 95%

Calculate value at risk

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Reference no: EM132821883

Question - Based on 100 observations of monthly stock returns for the countries of A and B between October 2005 and January 2014 and assuming an investment of $500,000 in each of these markets.

a) Calculate Value at Risk at the 95% level for each market, using the actual distribution of returns, that is, the historical approach,

- Value at Risk as a Percentage and in $ for country A and for country B b) calculate the average return and standard deviation in each market, then use the Normal Approximation to calculate the 95% Value at risk,

- Monthly returns: Average and Standard deviation for country A and for country Bc) calculate the correlation between the two markets A and B.

Reference no: EM132821883

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