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7 Security A has a bid price of 9 and offer price of 11. Security B has a bid price of 15 and offer price

7

Security A has a bid price of 9 and offer price of 11.

Security B has a bid price of 15 and offer price of 18.

A trader has 50000 of asset A and 70000 of asset B. What is the cost of liquidation in a normal market?

If the mean and SD of the spread of asset A are 10% and the mean and SD of the spread of asset B are 30% and 40% what is the cost in a stressed market at a 95% confidence level?

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