9. Using Monte Carlo, compute the 95% and 99% 1-, 10-, and 20-day tail VaRs for the

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9. Using Monte Carlo, compute the 95% and 99% 1-, 10-, and 20-day tail VaRs for the position in Problem 2.

assume that the risk-free rate is 0.08 and that there are three stocks with a price of $100 and the following characteristics:

α σ δ Correlation with B Correlation with C Stock A 0.15 0.30 0.00 0.25 0.20 Stock B 0.18 0.45 0.02 1.00 0.30 Stock C 0.16 0.50 0.00 0.30 1.00

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Derivatives Markets Pearson New International Edition

ISBN: 978-1292021256

3rd Edition

Authors: Robert L. Mcdonald

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Question Posted: Jul 22, 2024 09:00 AM

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9. Using Monte Carlo, compute the 95% and 99% 1-, 10-, and 20-day tail VaRs for the

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Derivatives Markets Pearson New International Edition

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