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Suppose a financial institution holds a well diversified $680,000 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 $680,000 position in stocks. The variance of this position in relation to the overall S&P is equal to 1. Over the past year the average daily variation of the S&P is 135 basis points with a standard deviation of 110 basis points. Determine the fluctuation that corresponds to an expected shortfall that occurs with 5% confidence. Note: The scale factor is 2.063.
Group of answer choices
A) 0.022693
B) 0.036193
C) 0.0388505
D) 0.22693
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