FREE Trial
Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

The daily returns of an asset have a standard deviation of 2% and an excess kurtosis of 3. Use the Student's t distribution to calculate

The daily returns of an asset have a standard deviation of 2% and an excess kurtosis of 3. Use the Student's t distribution to calculate and interpret a 95% daily VaR. You may use the following information: ; ; where is the critical value, is the degrees of freedom, is volatility, and is the mean.

Please solve clearly.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Numerical Analysis And Optimization NAO-III, Muscat, Oman, January 2014

Numerical Analysis And Optimization NAO-III, Muscat, Oman, January 2014

Authors: Mehiddin Al Baali, Lucio Grandinetti, Anton Purnama

1st Edition

3319176897, 9783319176895

More Books

Students also viewed these Mathematics questions

Question

★★★★★
Do you think that Darwin would object to the neutral theory of evolution?

Answered: 1 week ago

Question

★★★★★
The fertility rate (mean number of children per adult woman) varies in European countries between a low of 1.2 (Poland and Portugal) and a high of 1.9 (Ireland and France). For each woman, the number...

Answered: 1 week ago

Question

★★★★★
1. Ask a well-liked student to be friendly to an isolated, fearful student.

Answered: 1 week ago

Question

★★★★★
You are on the board of directors of a large German corporation. You are in the years before 2008 when the SEC required all U.S.-listed companies to prepare reports using U.S. GAAP . For several...

Answered: 1 week ago

Question

★★★★★
Future 12 moath L.IBOR 6 months from now 480% Current 12 meath LIBOR 6 months from now 5.05% You have to borrow 510,000 in 6 month's time for a duration of 12 months. Shew that whether you use the...

Answered: 1 week ago

Question

★★★★★
What does it mean if a confidence interval is nearly as large as the range of possible values for a measurement The sample size is too small and needs to be increased. You are always going to be...

Answered: 1 week ago

Question

★★★★★
Dying for a Paycheck, Jeffrey Pfeffer. The toll in both excess mortality and health-care costs from harmful workplace practice is exceedingly high in the U.S. Pfeffer demonstrates the severity of the...

Answered: 1 week ago

Question

★★★★★
GIS Introductions This class utilizes a 100% online environment as mode of instructions plus workshops. This short introduction will help others to welcome and get to know you. It also functions as...

Answered: 1 week ago

Question

★★★★★
Item 3 Determine the horizontal and vertical components of force that pin A exerts on the frame. Answered: 1 week ago

Answered: 1 week ago

Question

★★★★★
You are required to present a scenario that happened at an organizationof your choosing and illustrate how individual employee characteristics, such as personality and attitudes, motivational...

Answered: 1 week ago

Question

★★★★★
How COVID-19 impacted and changed the supply chain of transportation?

Answered: 1 week ago

Question

★★★★★
When it comes to sourcing supplies, companies tend to follow one of two philosophies. What are they? Aggregate sourcing, independent sourcing Single sourcing, aggregate sourcing Dual sourcing,...

Answered: 1 week ago

Question

★★★★★
2. In this chapter, the reader should reflect on the following concepts: Basic values, basic interests, position, socialization process, mental variables and norm distribution.

Answered: 1 week ago

Question

★★★★★
6. List examples from your local environment of people that have a so-called Protestant character. Add further characteristics to this phenomenon than those mentioned in this chapter.

Answered: 1 week ago

Question

★★★★★
10. Choose someone you know and answer the following questions: a) Does this person have a low or high level of competence in a particular field? b) Do you have a low or high level of confidence in...

Answered: 1 week ago

Previous Question Next Question