Question
Suppose a financial institution holds a well diversified 40,780,000 position in stocks. The variance of this position in relation to the overall S&P is equal
Suppose a financial institution holds a well diversified 40,780,000 position in stocks. The variance of this position in relation to the overall S&P is equal to 1.95. Over the past year the average daily variation of the S&P is 168 basis points with a standard deviation of 88 basis points.
1)Determine the stock value change that corresponds to a 90% probability that no value changes will exceed this value.
Group of answer choices
0.028152
0.03396
0.0389364
0.0510604
2)Determine the daily earnings at risk with a 90% probability.
Group of answer choices
$1,181,294.36
$1,433,572.94
$1,587,826.39
$2,082,243.11
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