Calculate the var, Financial Accounting

Assignment Help:

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.    

 


Related Discussions:- Calculate the var

Presentation and hearing-the petition, Presentation and hearing The pet...

Presentation and hearing The petition is presented to the court and must be served on the debtor at least eight days before the hearing. If the debtor wishes to oppose it he mu

Quarterly cash dividends are planned, Given the information that follows, d...

Given the information that follows, draw a cash budget for the XYZ Store for the first six months of 2012. Every prices and costs remain constant. Sales are 80% for credit

Calculate the weighted average cost, The following information is available...

The following information is available about the capital structure of Cheng & Davis Development (CDD). Capital Structure Current Target

lifo, How do I prepare a partial income statement under each inventory met...

How do I prepare a partial income statement under each inventory method?

What is completion report, Q. What is Completion Report? The object of a ...

Q. What is Completion Report? The object of a completion report is to compare the cost of work actually constructed with those provided for in the last sanctioned estimate. A com

What is the value of debt and equilty, Steinberg Corporation and Dietrich C...

Steinberg Corporation and Dietrich Corporation are identical firms except that Dietrich is more levered. Both companies will remain in business for one more year. The companies' ec

Financial accounts, The following items are found in the trial balance of M...

The following items are found in the trial balance of M/s Sharada Enterprise on 31st December, 2000. 10 marks Summer 2013 Sundry Debtors Rs.160000 Bad Debts written off Rs 9000 Dis

Ratio analysis, You have previously been exposed to the 'Introduction and a...

You have previously been exposed to the 'Introduction and analysis' of financial statements in previous sections of this course. From now you might have acquired several familiarit

Investments carried as trading securities, Did ford realize any gain or los...

Did ford realize any gain or loss from securty sales during 2009?

Adjusting entries clapton guitar company, Adjusting Entries Clapton Guitar ...

Adjusting Entries Clapton Guitar Company entered into the following transactions during 2013. [The transactions were properly recorded in permanent (balance sheet) accounts unless

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

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!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd