Discuss why in the real stock markets the empirical tests

Reference no: EM133491872

Question 1: A one-year project has a 93% chance of leading to a gain of $6 million, a 6.3% chance of a loss of $6 million, and a 0.7% chance of a loss of$10 million. What is the Value at Risk (35%) with a 99% confidence level? Will the loss of $10 million with 0.7% chance affect the VaR? Why or Why not?

Question 2: Discuss why in the real stock markets the empirical tests of the Capital Asset Pricing Model (CAPM) fail.

Reference no: EM133491872

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