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.
The appropriate treatment of Cash flow in respect of the following items as per US GAAP & FASB - (230-10) 1. Receipt of Insurance settlement proceeds of $2 mill. From an intern
Preparation of cashflow statements IAS 7 recommends that the cashflow statement can be prepared using two methods:- I) Direct method Whereby, cash from operations is deter
Courts application for grant A court may: 1) Wherein a deceased person is proved whether by production of a will or authenticated copy of the will or by oral evidence of its
Describe:- What are the limitations of the balance sheet? What are the benefits of the balance sheet? What are the form of the balance sheet?
Alliance Corporation (an Australian company) invests 1,000,000 marks in a foreign subsidiary on January 1, Year 1. The subsidiary commences operations on that date, and generates n
Since 1968, Dracula Limited has traded in Doncaster, South Yorkshire as a manufacturer of fancy-dress and theatrical costumes. It produces a wide range of general theatrical costum
Question 1 The following information should be used for questions #1 through #7: Jersies, Inc financial statement data. 2009 2010
You are the Genesis accountant and have taken a class recently in financing. You agree to prepare a PowerPoint presentation of approximately 6-8 minutes using the examples and info
EXECUTORSHIP Executorship is the body of statute law, case law and practice concerning the management of the estate of a deceased person. In what follows, we shall express the
Calculate the Net Present Value of the Investment XYZ Ltd is a manufacturer of household goods located in Ang Mo Ko. They presently make and wholesale fruit juicers, blenders
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