What is the var using ten-day horizon

Assignment Help Financial Management

Reference no: EM132020706

1. The VAR on a portfolio using a one-day horizon is USD 100 million. What is the VAR using a 10-day horizon? Explain your approach. If stock market returns are not normally distributed, how would this affect your answer? What if they follow a process with jumps (possibility of a crash at any time)?

2. A stock price today is 100. Every day it can go up or down by 10% with probability 0.5. Show the price development path over 4 days in a binomial tree. What is the probability that the stock price falls below 90 in 4 trading days?

Reference no: EM132020706

Questions Cloud

Discuss earth polarity and generation of geomagnetic rock : Discuss Earth's polarity and the generation of the geomagnetic rock record in the crustal rocks of the ocean floor.

What is the optimum annual cost for fiber glass : The setup/order cost for glass fiber is $200 while for reinforced plastic there is a $650 order cost. What is the optimum annual cost for fiber glass

Describe the formation of a mantle plume : Describe the formation of a mantle plume and relate that to the formation of the Hawaiian Island/Emperor Seamount chain.

What is the annual demand of engines : The unit cost of an engine is $3000 and there is a 30% interest rate associated with the holding cost. What is the annual demand of engines

What is the var using ten-day horizon : The VAR on a portfolio using a one-day horizon is USD 100 million. What is the VAR using a 10-day horizon? Explain your approach. I

Compare and contrast divergent and convergent boundaries : Compare and contrast divergent and convergent boundaries. Describe the direction of plate movement and common geologic features found at each.

Discuss the types of child temperament classification : Consider the three types of child temperament classification (Thomas & Chess, 1977), and consider the Ainsworth's attachment styles for this assignment.

Formulate development and testing strategies : Develop a design using modeling tools, formulate development and testing strategies, and propose an integration and deployment plan.

Construct a proposal for a project : RES701 Research Methods - Construct a proposal for a project that could be the subject of PRJ701 or PRJ702, to a standard that would be approved by the BIT

User Account

All Pages