User Account

All Pages

Compute value-at-risk for abc ltd

Assignment Help Accounting Basics
Reference no: EM133171711

Question - Let $4 million is invested in shares in ABC Ltd, which have an estimated return of zero and a standard deviation of 30 per cent per annum. Also assume that $7 million is invested in shares in XYZ Ltd, which have an estimated return of zero and a standard deviation of 20 per cent per annum. Returns of both shares follow a normal probability distribution and abnormally bad market conditions are expected 5 per cent of the time (assume that the correlation between the returns on the shares is 0.25)

(a) Compute Value-at-risk (VaR) for ABC Ltd and XYZ Ltd individually.

(b) Compute Value-at-risk (VaR) of a portfolio consisting of 60% investment in ABC Ltd and 40% investment in XYZ Ltd.

(c) Explain the reason for the differences in results you find in (a) and (b) above.

Reference no: EM133171711

Questions Cloud

What is his basis in the new stock : Assuming that Thomas does not allocate his original stock basis to the rights, what is his basis in the new stock? When does his holding period begin
Impact on profits of closing the plant : Due to a strike In its supplier's plant, Ovation Company Is unable to purchase more material for the production of Bits.
What is the cash flow : If you decided to start a small business you must have some financial resources to survive your new business until you start generating some revenue.
How long will it takes for you to have the amount saved : You deposited RM500 every three months and wishes to have RM30,000 into an account with interest rates of 5.5% p.a. How long will it takes for you to have
Compute value-at-risk for abc ltd : Returns of both shares follow a normal probability distribution and abnormally bad market conditions are expected 5 per cent of the time. Compute Value-at-risk
Calculate equilibrium expected returns for stocks a and b : Expected return on the market portfolio is 10%, the risk-free rate is 6%. Calculate equilibrium expected returns for stocks A and B
What percentage of the total interest has been paid : After 29 payments have been made, what percentage of the total interest has been paid (round to the nearest percentage point)
Prepare an income statement using variable costing : Dion produced 21,600 units, and 2,800 units remain in ending finished goods inventory for May. Prepare an income statement using variable costing
How much is the sum of the present value of expected return : Thus, the sum of the expected returns over those periods is $150,000. How much is the sum of the present value of the expected return

Reviews

Write a Review

Accounting Basics Questions & Answers

  How much control does fed have over this longer real rate

Hubbard argues that the Fed can control the Fed funds rate, but the interest rate that is important for the economy is a longer-term real rate of interest.   How much control does the Fed have over this longer real rate?

  Coures:- fundamental accounting principles

Coures:- Fundamental Accounting Principles: - Explain the goals and uses of special journals.

  Accounting problems

Accounting problems,  Draw a detailed timeline incorporating the dividends, calculate    the exact Payback Period  b)   the discounted Payback Period. the IRR,  the NPV, the Profitability Index.

  Theory of interest - term structure of interest rates

Term Structure of Interest Rates

  Write a report on internal controls

Write a report on Internal Controls

  Prepare the bank reconciliation for company

Prepare the bank reconciliation for company.

  Cost-benefit analysis

Create a cost-benefit analysis to evaluate the project

  Theory of interest

Theory of Interest: NPV, IRR, Nominal and Real, Amortization, Sinking Fund, TWRR, DWRR

  Liquidity and profitability

Distinguish between liquidity and profitability.

  What is the expected risk premium on the portfolio

Your Corp, Inc. has a corporate tax rate of 35%. Please calculate their after tax cost of debt expressed as a percentage. Your Corp, Inc. has several outstanding bond issues all of which require semiannual interest payments.

  Simple interest and compound interest

Simple Interest, Compound interest, discount rate, force of interest, AV, PV

  Capm and venture capital

CAPM and Venture Capital

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +1-415-670-9521

Phone: +1-415-670-9521

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd