Bank of Alaskas stock portfolio has a market value of $10 million The beta of the portfolio approximates the market portfolio, whose standard deviation ((m) has been estimated at 1 5 percent What is the five day VAR of this portfolio using adverse rate changes in the 99th percentile ...

Bank of Alaskas stock portfolio has a market value of $10 million. The beta of the portfolio

Question:

Bank of Alaska’s stock has a market value of $10 million. The beta of the approximates the market whose standard deviation ((m) has been estimated at 1.5 percent. What is the five-day VAR of this using adverse rate changes in the 99th percentile? Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...