Question
NAB shares have a monthly average return of 1% and a monthly return standard deviation of 7%. Returns are assumed to be normally distributed. Provide
NAB shares have a monthly average return of 1% and a monthly return standard deviation of 7%. 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 month horizon.
b) Calculate the stocks Value-at-Risk (VaR) at the 95% level over the 1 year horizon.
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The Entrepreneur's Growth Startup Handbook 7 Secrets To Venture Funding And Successful Growth
Authors: David N. Feldman
1st Edition
1118445651, 978-1118445655
