Answered step by step
Verified Expert Solution
Question
1 Approved Answer
50. You have accumulated 95 daily returns for your $150,000,000 portfolio. After ranking the returns from the highest to lowest, you identify the lowest six
50. You have accumulated 95 daily returns for your $150,000,000 portfolio. After ranking the returns from the highest to lowest, you identify the lowest six returns as: -0.0011, -0.0019, -0.0025, -0.0034, -0.0096, and -0.010 Calculate the daily 5% VaR (in percent and dollar terms) using this data history. (Note: we are not assuming normality here).
A. -0.0019; -$285,000 B. -0.00205; -$307,000 C. -0.0025; $375,000 D. None of the above
Please show work.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started