Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Feb 17, 2024

Assume a portfolio of two assets with the following total value (Al) covariance matrix 1 -0.5 -0.5 1 The sum of the 99% component

Assume a portfolio of two assets with the following total value (Al) covariance matrix 1 -0.5 -0.5 1 The sum of the 99% component VaRs of the two assets is:

Step by Step Solution

There are 3 Steps involved in it

Step: 1

Get Instant Access to Expert-Tailored Solutions

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

Step: 2

Step: 3

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

Derivatives Principles And Practice

Authors: Rangarajan Sundaram

2nd Edition

0078034736, 9780078034732

More Books

Students also viewed these Finance questions

Question

A common stock has just paid a dividend of $2.50/share. The dividends are expected to stay constant in perpetuity. The required return on the stock is 12%. What value would you put on that stock...

Answered: 1 week ago

Question

Laura Leasing Company signs an agreement on January 1, 2020, to lease equipment to Larkspur Company. The following information relates to this agreement. 1. 2. 3. 4. 5. 6. The term of the...

Answered: 1 week ago

Question

★★★★★

Flounder Company reported the following amounts in the stockholders equity section of its December 31, 2019, balance sheet. Preferred stock, 10%, $100 par (10,000 shares authorized, 2,000 shares...

Answered: 1 week ago

Question

★★★★★

A disadvantage of many profitsharing remuneration plans is that: Group of answer choices They align shareholders' and managers' objectives. They do not incentivize management to change their...

Answered: 1 week ago

Question

★★★★★

(a) The most significant cost in family medicine practice is human resources. To treat twice as many patients, a medical clinic will probably need twice as many doctors, nurses, and other staff and...

Answered: 1 week ago

Question

★★★★★

Explain how the value of n, the number of trials in a binomial experiment, affects the shape of the distribution of a binomial random variable.

Answered: 1 week ago

Question

★★★★★

.(i) In a family with four children, what is the probability of having two boys and two girls, assuming that both genders are equally likely? (ii) If we select 10 families, each having four children,...

Answered: 1 week ago

Question

★★★★★

An auto dealership is advertising that a new car with a sticker price of $35,208 is on sale for $25,995 if payment is made in full, or it can be financed at 0 percent interest for 72 months with a...

Answered: 1 week ago

Question

★★★★★

for co - payment of the health insurance premium. As of September 3 0 , Sienna had $ 1 2 2 , 0 0 0 of cumulative earnings. ( Click the icon to view payroll tax rate information. ) Requirements Read...

Answered: 1 week ago

Question

★★★★★

Angela Green, an investment manager at Horizon Investments, intends to hire a new investment analyst. After conducting initial interviews, Green has narrowed the pool to three candidates. She plans...

Answered: 1 week ago

Question

★★★★★

In java Write a while loop that prints userNum divided by 2 ( integer division ) until reaching 1 . Follow each number by a space. Example output for userNum = 4 0 : 2 0 1 0 5 2 1 Note: These...

Answered: 1 week ago

Question

★★★★★

The year is 2030, and the rate of change has continued to exponentially increase over the last few years. Select a current organization that you believe will still be successful in the year 2030. I...

Answered: 1 week ago

Question

★★★★★

a company that operates for 50 weeks in a year is concerned about its stocks of copper cable. This costs rs. 240 a meter and there is a demand for 8000 meters a week . Each replenishment costs rs....

Answered: 1 week ago

Question

★★★★★

25) A coffee shop operates 7 days per week and needs to determine how many workers (full-time equivalent, FTE) employees to staff. Employees work 12 hour shifts. A FTE is defined as an employee that...

Answered: 1 week ago

Question

★★★★★

Suppose we have a credit score distribution that follows a normal distribution with a mean of 705 and standard deviation of 39. A person is randomly selected. Compute the probability that this person...

Answered: 1 week ago

Question

★★★★★

83. A baseball team of ten young teenagers is visiting town for a tournament today. Two of the players have swollen parotid (salivary) glands with cough and fever. You are called to evaluate and...

Answered: 1 week ago

Question

★★★★★

7. A manager of $10 million of large-cap equities would like to shift 25% of the position to mid-cap equities. The beta of the large-cap position is 0.8, and the average beat of mid-cap stock is 1.2....

Answered: 1 week ago

Question

★★★★★

The overall reaction and equilibrium constant value for a hydrogenoxygen fuel cell at 298 K is 2H 2 (g) + O 2 (g) 2H 2 O(l) K = 1.28 10 83 a. Calculate E cell and G 8 at 298 K for the fuel cell...

Answered: 1 week ago

Question

★★★★★

What is the main difference between a forward and an option?

Answered: 1 week ago

Question

★★★★★

EZFund can raise financing at six-month Libor plus 25 bps for five years. It finds that five-year Ampco bonds (BB rated) are trading at a yield to maturity of 10%. If total return swaps linked to the...

Answered: 1 week ago

Question

★★★★★

The option to wait to invest in a risky project is a valuable one. The risk of waiting to invest is a possible loss in market share to other early movers into the market. How would you use the option...

Answered: 1 week ago

Question

★★★★★

Consider the following set of data: y x1 x2 x3 x4 61 37 18 2 13 37 25 5 4 10 22 23 12 7 4 48 12 6 2 15 66 34 14 3 25 y x1 x2 x3 x4 69 35 21 2 20 24 23 7 6 9 68 35 15 3 14 65 37 19 2 19 45 30 12 3 12...

Answered: 1 week ago

Question

★★★★★

You are given the following set of data: y x1 x2 x3 33 9 192 40 44 11 397 47 34 10 235 37 60 13 345 61 20 11 245 23 30 7 235 35 y x1 x2 x3 45 12 296 52 25 9 235 27 53 10 295 57 45 13 335 50 37 11 243...

Answered: 1 week ago

Question

★★★★★

The National Association of Realtors Existing-Home Sales Series provides a measurement of the residential real estate market. One of the measurements it produces is the Housing Affordability Index...

Answered: 1 week ago

Previous Question Next Question