Question
A bank had a trading portfolio (short position) valued at $500,000. The distribution of the daily return on this portfolio is normally distributed with a
A bank had a trading portfolio (short position) valued at $500,000. The distribution of the daily return on this portfolio is normally distributed with a mean 0.15 and standard deviation of 1%. What is the DEAR, i.e., the potential loss of the bank's portfolio which has a chance of 5% to happen?(Please only provide the magnitude of DEAR, i.e. without a negative sign)
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Mastering Attribution In Finance
Authors: Andrew Colin
1st Edition
1292114029, 978-1292114026
