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A portfolio has daily returns, discounted to today, that are normally distributed and identically distributed with expectation 0 and a standard deviation of 1.5%. Find
A portfolio has daily returns, discounted to today, that are normally distributed and identically distributed with expectation 0 and a standard deviation of 1.5%. Find the 1% 1-day VaR. Then find the 1% 10-day VaR under the assumption that the daily excess returns
(a) Are independent
(b) Follow a first order autoregressive process with autocorrelation 0.25.
(a) Are independent
(b) Follow a first order autoregressive process with autocorrelation 0.25.
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Elementary Statistics
Authors: Robert R. Johnson, Patricia J. Kuby
11th Edition
978-053873350, 9781133169321, 538733500, 1133169325, 978-0538733502
