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.
Suppose that the risk-free rate is 7% and that the market risk premium is 7%. What is the needed rate of return on a stock with a beta of 1.2? What is the needed rate of retu
48 Morgado Inc. has provided the following data to be used in evaluating a proposed investment project: Initial investment $130,000 Annual cash receipts $78,000 Life of th
SETTLEMENT OF LIABILITIES Wide powers of compromise are granted to trustees by the Trustee Act. Two or more trustees or a sole trustee, where authorised, may: 1. Pay or allow
The following transactions transpire during the liquidation of the Marks, Norris, Smith, and Savannah partnership: • Collected 90 percent of the total accounts receivable with the
Calculate Stock turnover rate The total average number of times each year which stocks is "turned over" in the terms and course of trading activity. Stock turnover rate
redemption of debentures by sinking fund method
BALANCE SHEET Grouping of items: Items in the Balance Sheet should be grouped under appropriate headings. In particular, a trust operating the provisions of the Trustee Act
Q. If a corporation declares a 10% stock dividend on its common stock, the account to be debited on the date of declaration is a. Common Stock Dividends Distributable. b. Common St
An accountant made the following adjustments at December 31, the end of the accounting period: a. Prepaid insurance, beginning, $400. Payments for insurance during the period, $1,2
economic substance as in recognition of revenue
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