Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Answers the following parts ::: 25. The boundaries of typical appropriation needed to assess parametric VaR are: A.Expected worth and standard deviation. B.skewness and kurtosis.

Answers the following parts :::

25. The boundaries of typical appropriation needed to assess parametric VaR are:

A.Expected worth and standard deviation.

B.skewness and kurtosis.

C.standard deviation and skewness.

26.Assuming an every day anticipated return of 0.0384% and day by day standard deviation of 0.9960% (as in the model in the content), which of coming up next is nearest to the 1% VaR for a $150 million portfolio? Express your answer in dollars.

A.$3.4 million

B.$2.4 million

C.$1.4 million

27.Assuming an every day anticipated return of 0.0384% and day by day standard deviation of 0.9960% (as in the model in the content), the day by day 5% parametric VaR is $2,407,530. Adjusting the VaR to $2.4 million, which of the accompanying qualities is nearest to the yearly 5% parametric VaR? Express your answer in dollars.

A.$38 million

B.$25 million

C.$600 million

28.Which of the accompanying assertions about the verifiable reproduction technique for assessing VaR is generally right?

A.A 5% chronicled reproduction VaR is the worth that is 5% to one side of the normal worth.

B.A 5% authentic reenactment VaR is the worth that is 1.65 standard deviations to one side of the normal worth.

C.A 5% chronicled reproduction VaR is the fifth percentile, which means the point on the circulation past which 5% of the results bring about bigger misfortunes.

29.Which of coming up next is an impediment of the verifiable reenactment strategy?

A.The past may not recurrent itself.

B.A dependence on the ordinary circulation.

C.Estimates of the mean and change could be one-sided.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Financial Reporting and Analysis Using Financial Accounting Information

Authors: Charles H. Gibson

13th edition

1285401603, 1133188796, 9781285401607, 978-1133188797

More Books

Students also viewed these Accounting questions