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An analyst is estimating the aggregate DEAR (daily earning at risk) of a bank's stock portfolio. The market value of this well-diversified portfolio is $734700,
An analyst is estimating the aggregate DEAR (daily earning at risk) of a bank's stock portfolio. The market value of this well-diversified portfolio is $734700, with a daily standard deviation of 5.7 per cent. Calculate the DEAR of this portfolio, assuming you desire no more than 1% chance that stock market return volatility will be greater than this maximum.
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
978-0078034800, 78034809, 978-0071051590
