Confidence interval for the var estimate

Assignment Help Finance Basics
Reference no: EM132637922

Suppose that a one-day 95% VaR is estimated as $15 million from 2,000 observations. The one-day changes are approximately normal with mean zero and standard deviation $5.5 million. Estimate a 99% confidence interval for the VaR estimate

Reference no: EM132637922

Questions Cloud

What do think about the internet : What do you think about The Internet? How is The Internet influencing people, businesses, society, communication, and the world?
Separation of duties in it : Describe the reasons why separation of duties is a critical requirement for policy framework compliance.
Determine the adjusted balance of both books : Branch Two acquired equipment for 120,000 to be maintained in the books of the home office. Determine the adjusted balance of both books
Describe free market capitalism : Describe creative capitalism. Explain the concept of corporate social responsibility using two examples of socially responsible companies.
Confidence interval for the var estimate : The one-day changes are approximately normal with mean zero and standard deviation $5.5 million. Estimate a 99% confidence interval for the VaR estimate
Create security plan for the cloud : Use the Cyber Security Framework (CSF) to create a security plan for the Cloud.
Explain why investment risk profiling is essential : Explain Investment risk profiling is essential, now more than ever, due to turbulent market Conditions to ensure that investor minimise their investment losses.
Var for a portfolio containing options : Explain why the linear model can provide only approximate estimates of VaR for a portfolio containing options.
Compute the billing rate : The following information was taken from the records of home office: Branch Current account 325,000. Compute the Billing rate

Reviews

Write a Review

Finance Basics Questions & Answers

  What would be the monthly payments

The current interest rate is 4%. What would be the monthly payments? what would be the outstanding loan balance after 3 years (36 payments)?

  Solve the decision tree with expected values

You know that consumer confidence will be high with a 90% probability. Solve the decision tree with expected values. What investment opportunity do you choose?

  General fund for fund based financial statements

Discuss and explain how each of the following transactions impacts the fund balance of the General Fund for fund-based financial statements

  What would be the internal price the external price risk

what would be the internal price the external price risk free rate required rate of return present and the future value

  Calculate abc invested capital turnover

Calculate ABC's invested apital turnover, EBITDA margin, and rate of return on invested capital ( after tax, no depreciation in this problem).

  Will portfolio remain immunized after one year has passed

In relation to the time left in the investor's investment horizon (six years), describe what you think the duration will be after one year has passed.

  What is meant by direct method of calculating operating cash

What is meant by the ‘direct method' of calculating operating cash flow? What is meant by the ‘indirect method' of calculating operating cash flow?

  Should you accept the offer or cash the canadian dollars

You met a tourist at the airport who is from Mexico and is on his way to Canada. He is willing to buy your C$200 for 1,300 pesos. Should you accept the offer or cash the Canadian dollars in at the airport? Explain.

  How much money does mep receive

The MEP company has issued 5,000,000 new shares. Its investment bank agrees to underwrite these shares on a best efforts basis.

  Should duncombe pursue the investment

Analyze the following scenario: Duncombe Village Golf Course is considering the purchase of new equipment that will cost $1,200,000 if purchased today and will generate the following cash disbursements and receipts.  Should Duncombe pursue the invest..

  Identify the number of levels of the independent variable

If the participants in the drug group are noticeably older (on average) than the individuals in the placebo group, then which of the following most accurately describes the age variable in the study? (independent, dependent, extraneous, confoundin..

  What did the committee members comment on current economy

Please read the minutes of the Sep 20-21 meeting. What did the committee members comment on current economy: a. price stability (i.e., inflation level); b. unemployment rate; c. economic growth rate, personal consumption expenditures, housing mark..

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!

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