subject
Business, 04.12.2021 14:00 seth3336

Construct for your own group a portfolio consisting of 3 items: - 2 stocks: 10 000 and 20 000 shares each.
- 1 commodity: 500 units.
a) Get the real price movement from the market (it can be either domestic or foreign one). Applying the guidance on slide 17 onwards in Chapter Market risk 3, calculate 1-day VAR and ES for your portfolio at 97.5% confidence level. Show your prices and calculation on an attached Excel sheet.
b) Suppose that the returns of your portfolio are normally distributed, calculate:
i) VAR and ES for 10-day time window.
ii) VAR and ES for 99% and 95% confidence levels

ansver
Answers: 3

Other questions on the subject: Business

image
Business, 22.06.2019 17:30, SkyMelvin
What do you think: would it be more profitable to own 200 shares of penny’s pickles or 1 share of exxon? why do you think that?
Answers: 1
image
Business, 23.06.2019 02:30, yogiiiii7131
What provides financial support to workers who are retired or have disabilities? medicare social security tax withholdings medicaid
Answers: 1
image
Business, 23.06.2019 12:00, cicilee49
Managers at flavors, a restaurant chain, train their employees such that in the absence of employees, someone trained in the same skills can step in and do the job equally well. thus, many modules in training are extensive as they provide employees with details of the skill sets required for different jobs. in practice, this lengthy training program does the company as a well-trained and flexible workforce is at their disposal at all times. the managers at flavors use a) job rotationb) vertical enhancementc) telecommutingd) job sharinge) flextime
Answers: 3
image
Business, 23.06.2019 14:00, havennn
If china enforces the software procurement regulation, the most likely result is
Answers: 1
You know the right answer?
Construct for your own group a portfolio consisting of 3 items: - 2 stocks: 10 000 and 20 000 shar...

Questions in other subjects: