{ "key_pair_value_system": true, "answer_rating_count": "", "question_feedback_html": { "html_star": "", "html_star_feedback": "" }, "answer_average_rating_value": "", "answer_date_js": "2024-06-10T04:31:14-04:00", "answer_date": "2024-06-10 04:31:14", "is_docs_available": "", "is_excel_available": "", "is_pdf_available": "", "count_file_available": 0, "main_page": "student_question_view", "question_id": "2566068", "url": "\/study-help\/questions\/financial-risk-management-3-a-portfolio-has-daily-returns-discounted-2566068", "question_creation_date_js": "2024-06-10T04:31:14-04:00", "question_creation_date": "Jun 10, 2024 04:31 AM", "meta_title": "[Solved] Financial risk management 3. A portfolio | SolutionInn", "meta_description": "Answer of - Financial risk management 3. A portfolio has daily returns, discounted to today, that are normal with expecta- tion 0 | SolutionInn", "meta_keywords": "financial,risk,management,3,portfolio,daily,returns,discounted,today,normal,expecta-,tion", "question_title_h1": "Financial risk management 3. A portfolio has daily returns, discounted to today, that are normal with expecta- tion 0 and a standard deviation of 2%.", "question_title": "Financial risk management 3. A portfolio has daily returns, discounted to today,", "question_title_for_js_snippet": "Financial risk management 3 A portfolio has daily returns, discounted to today, that are normal with expecta tion 0 and a standard deviation of 2 Find the 1 1 day VaR Then find the 1 30 day VaR under the assumption that the daily excess returns (a) are independent and (b) follow a first order autoregressive process with autocorrelation 0 2 (c) Repeat part (b) above but now with autocorrelation 0 2 Hence, comment on the effect of autocorrelation on VaR", "question_description": "\"image

Financial risk management <\/p>

\"image<\/div><\/div><\/div> 3. A portfolio has daily returns, discounted to today, that are normal with expecta- tion 0 and a standard deviation of 2%. Find the 1% 1-day VaR. Then find the 1% 30-day VaR under the assumption that the daily excess returns (a) are independent and (b) follow a first order autoregressive process with autocorrelation 0.2. (c) Repeat part (b) above but now with autocorrelation -0.2. Hence, comment on the effect of autocorrelation on VaR", "transcribed_text": "", "related_book": { "title": "Financial and Managerial Accounting the basis for business decisions\t ", "isbn": "0077664078, 978-0077664077, 78111048, 978-0078111044", "edition": "16th edition", "authors": "Jan Williams, Susan Haka, Mark Bettner, Joseph Carcello", "cover_image": "https:\/\/dsd5zvtm8ll6.cloudfront.net\/si.question.images\/book_images\/290.jpg", "uri": "\/textbooks\/financial-and-managerial-accounting-the-basis-for-business-decisions-16th-edition-290", "see_more_uri": "" }, "free_related_book": { "isbn": "0201383934", "uri": "\/textbooks\/students-solutions-manual-to-accompany-college-algebra-and-trigonometry-2nd-edition-978-0201383935-155208", "name": "Students Solutions Manual To Accompany College Algebra And Trigonometry", "edition": "2nd Edition" }, "question_posted": "2024-06-10 04:31:14", "see_more_questions_link": "\/study-help\/questions\/business-banking-2021-September-12", "step_by_step_answer": "The Answer is in the image, click to view ...", "students_also_viewed": [ { "url": "\/experiment-was-conducted-to-investigate-leaking-current-in", "description": "An experiment was conducted to investigate leaking current in a SOS MOSFETS device. 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