Question
Question 10. You are the new risk analyst for Superior Funds and have been given the task to calculate the Value at Risk for the
Question 10. You are the new risk analyst for Superior Funds and have been given the task to calculate the Value at Risk for the fund Ace-Q. You choose to calculate the funds Expected return and standard deviation by using scenarios and probabilities instead of historical data. These are the four future states you have come up with and their corresponding returns and probabilities.
| State | Probability of state | Expected return for different states |
| Excellent | 10% | 30% |
| Good | 55% | 13% |
| Poor | 30% | -6% |
| Crash | 5% | -30% |
- What is the 5% Value-at-Risk using the following formula:
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The Private Equity Toolkit A Step By Step Guide To Getting Deals Done From Sourcing To Exit
Authors: Tamara Sakovska
1st Edition
1119697107, 978-1119697107
