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Show work (25 points) 2. Tennessee National Bank has a stock portfolio with a market value of S40 million. The beta of the portfolio is
Show work (25 points) 2. Tennessee National Bank has a stock portfolio with a market value of S40 million. The beta of the portfolio is =1.25; whereas, the market portfolio beta is 1.0 (= 1), The market portfolio's daily standard deviation (Sm) is estimated at 1.6 percent (.016). What is the Daily Earnings at Risk (DEAR) and 5-day value at risk (VAR) of this stock portfolio, using an adverse rate change that will be exceeded only two days in 100 trading days. This also is the 98 percent confidence interval (Z2 2.33). DEAR DEAR -($ Value of portfolio) x (2 x x sm )
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