Question
If the expected change in a fixed income portfolio is $520,000 and the standard deviation of the estimated change in the portfolio is $2,275,500, the
If the expected change in a fixed income portfolio is $520,000 and the standard deviation of the estimated change in the portfolio is $2,275,500, the 95 percent value-at-risk (VAR) for this portfolio is closest to:
1. $3,223,197.50.
2. $3,743,197.50.
3.$4,598,597.50.
4. $855,400.00.
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Corporate Financial Accounting
Authors: Carl S. Warren, James M. Reeve, Jonathan Duchac
15th Edition
978-1337398169
