What is expected shortfall when confidence level

Assignment Help Financial Management

Reference no: EM131947957

Suppose that each of two investments has a 1% chance of loss of $ 12 million, a 4% chance that of loss of $1 million, and a 95% chance of profit of $4 million. They are independent of each other.

A. What is the VaR for one of the investments when the confidence level is 97.5%?

B. What is the expected shortfall when the confidence level is 97.5%?

C. What is the VaR for a portfolio consisting of the two investments when the confidence level is 97.5%?

D. What is the expected shortfall of for a portfolio consisting of the two investments when the confidence level is 97.5%?

Reference no: EM131947957

Questions Cloud

The income tax in certain nation is computed as flat rate : Suppose that that the income tax in a certain nation is computed as a flat rate of 5 percent but no tax is levied above $50,000 in taxable income.

Define how the agency implements the relevant law and policy : For each area of employment law, complete the following: List the federal agency (or agencies) that regulates this area.

What is the incremental analysis : What is the incremental analysis if the Lees choose Option 1 over Option 2?

Understanding of the meaning of the term : Part A: The term "metrics" is commonly used by digital marketers. Explain your understanding of the meaning of the term.

What is expected shortfall when confidence level : What is the expected shortfall when the confidence level is 97.5%?

Yield more profit than a higher simple rate : The goal here, is to show your friend that compounding at a lesser rate can yield more profit than a higher simple rate.

Explain the issues related to the segment : The focus of this assignment is on the disclosure issues related to the segment and noncontrolling interest information in the SEC 10-K.

What is the after- tax WACC : A company is 40% financed by risk-free debt. What is the after- tax WACC, assuming that the company pays tax at a 35% rate.

Fundamentals of managing organisational conflict : MGT102 – Introduction to Business Operations - analyse the Case Study and answer the related questions - Evaluate the TIGO case study based on conflict

User Account

All Pages