Differences in narrative section and quantitative section

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1. Consider an investment consisting of 2,000,000 dollars investment in index A and 1,800,000 investment in index B. Assume that daily volatility of each asset is 2% and correlation of returns is 0.6. Calculate 1 day and 10 days Value-At-Risk with 95 percent confidence.

2. A stock price follows geometric Brownian motion with expected return 15% and volatility 20% per year. The current price is 100. What is the probability of the stock to end below 100 in 6 months? Show clear steps

3. What are the key components of a bank's contingency funding plan? What are the differences between the narrative section and the quantitative section?

Reference no: EM132056842

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