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BHP shares have an annual average return of 10% and an annual return standard deviation of 40%. Returns are assumed to be normally distributed. Provide
BHP shares have an annual average return of 10% and an annual return standard deviation of 40%. Returns are assumed to be normally distributed. Provide the following risk measures and show your working.
a) Calculate the stocks Value-at-Risk (VaR) at the 95% level over the 1 year horizon.
b) Calculate the stocks Value-at-Risk (VaR) at the 95% level over the 1 day horizon (Hint: if you assume there are 252 trading days in a year, 1 day is 1/252 0.004 of a year.)
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