Question
Exhibit below shows the 40 worst monthly returns on IBM stock during the last 20 years, in descending order, as of 2011 (minus signs omitted):
Exhibit below shows the 40 worst monthly returns on IBM stock during the last 20 years, in descending order, as of 2011 (minus signs omitted):
Exhibit: IBM Stock: Worst Monthly Returns
0.26190 0.11692 0.09077 0.07537
0.22645 0.11553 0.08926 0.07298
0.20511 0.10838 0.08585 0.07260
0.19462 0.10805 0.08481 0.07247
0.18802 0.10687 0.08422 0.07075
0.17183 0.10503 0.08356 0.06894
0.16415 0.09873 0.08234 0.06782
0.14834 0.09550 0.08197 0.06746
0.14773 0.09276 0.08143 0.06501
0.12444 0.09091 0.07547 0.06437
For the calculations below, assume the portfolio value is $200,000.
Calculate a 10 percent monthly VaR / 90% CL using the historical method.
A. | 9550 | |
B. | 16394 | |
C. | 16962 | |
D. | 23,106 |
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