Already have an account? Get multiple benefits of using own account!
Login in your account..!
Remember me
Don't have an account? Create your account in less than a minutes,
Forgot password? how can I recover my password now!
Enter right registered email to receive password!
An investment has a 92% chance of making a profit of $10 million, a 1.5% chance of losing $4 million, a 3% of losing $6 million, and a 3.5% chance of losing $16 million.
A) What is the VaR for this investment when confidence level is 90%, 95%, or 99%?
B) What is the expected shortfall when the confidence level is 95%?
C) Suppose there is another independent investment with the following profile: a 94% change of making $3 million and a 6% change of losing $5 million. What is the VaR for a portfolio consisting of the two investments when the confidence level is 95%?
D) What is the expected shortfall for the portfolio in C) when the confidence level is 95%?
E) Does VaR in C) satisfy the subadditivity condition? How about the expected shortfall in D)?
Hint: for A), please realize that we have only three possible values; go from the gain to the loss until the total probability is bigger than 95%. For C), enumerate all the possible combinations of losses and gains, and then identify the 95 percentile.
Peter has worked for five years as an assistant accountant for a large garage and vehicle repair workshop. In the past two weeks he has noticed that one of the managers, Simon, ha
1. A fellow student says to you: "The statement of cash flows is the easiest of the basic financial statements to prepare because you know the answer before you start. You compare
Assuming the robot is placed on track at the packing station facing away from the station) the robot traverses the entire track. During this step, the robot will follow a left-hand
POWERS OF INVESTMENT The trustees have a duty to obtain control of trust assets and to invest trust funds in authorised securities. The trustees may invest in such securities
Variation of securities It would seem logical to carry out a strict apportionment between income and capital every time investments are bought or sold. If this were done, it wo
According to the FASB, the usefulness of accounting is judged by which of the following two qualitative characteristics of accounting information? Comparability and neutrality Unde
At current the working capital cycle is Receivables days $0.4m/$10m * 365 = 15 days Inventory days $0.7m/$8m * 365 = 32 days (cost of sales = $10m - $2m) Payables days $1.
The following information for the six months ended 31 December 2009 relates to the business of Mr N Morris: a) Opening cash (including bank) balance Rs 1,200 b) Productio
Let us assume you expect to obtain Rs.2000 yearly for the next three years. The receipt of Rs.2000 is evenly divided. One part that is: Rs.1000 is obtained at the beginning of the
General limitations of Net Present Value when applied to investment appraisal NPV is a generally used technique employed in investment appraisal but is subject to a number of r
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!
whatsapp: +91-977-207-8620
Phone: +91-977-207-8620
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd