Question three

a)An asset has a daily standard deviation of returns equal to 1.7% and its current value of $15.25 million. Calculate the value at risk (5%) on both a percentage and dollar basis and comment of the results.

b)An asset has a daily standard deviation of returns equal to 2.1% and its current value of $10.25 million. Calculate the value at risk (1%) on both a percentage and dollar basis and comment of the results.

c)A portfolio of $500 million has expected 2-week return and standard deviation of 0.17% and 0.11% respectively Calculate the 2-week value at risk at 5% level of significance.