My local bank has a portfolio of $250 million invested in an NYSE Index. The regulators want a 5% 10-day VAR and have recommended that
My local bank has a portfolio of $250 million invested in an NYSE Index. The regulators want a 5% 10-day VAR and have recommended that the statistical analysis method be used. Over the past year, the NYSE Index has had an average daily return of 0.0475% and a daily standard deviation of 1.7589%. Assume a 253 day trading year.
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Authors: Laurence S. Seidman
1st Edition
0073375748, 978-0073375748
