Find the var for one year at the given probability

Assignment Help Risk Management
Reference no: EM13925658

Consider a portfolio consisting of $10 million invested in the S&P 500, and $7.5 million in- vested in U.S. Treasury bonds. The S&P 500 has an expected return of 14 percent and a standard deviation of 16 percent. The Treasury bonds have an expected return of 9 percent and a standard deviation of 8 percent. The correlation between the S&P 500 and the bonds is 0.35. All figures are stated on an annual basis.

a. Find the VAR for one year at a probability of 0.05. Identify and use the most appropriate method given the information you have.

b. Using the information you obtained in part a, find the VAR for one day.

Reference no: EM13925658

Questions Cloud

Identify the five types of credit derivatives : Identify the five types of credit derivatives and briefly describe how each works. Suppose your firm is a derivatives dealer and has recently created a new product.
Calculate the mean and standard deviation for data : Find the probability that a randomly selected households access the Internet in 2010-2011 - Calculate the mean and standard deviation for data.
Large retail distributor of the supertrex brand : The I. Kruger Paint and Wallpaper Store is a large retail distributor of the Supertrex brand of vinyl wall-coverings. Kruger will enhance its citywide image in Miami if it can outsell other local stores in total number of rolls of Supertrex next y..
Find the expected payback for the games of chance : Find the expected payback for the games of chance described in exercise, In one form of roulette, you bet $1 on "even." If 1one of the 18 even numbers comes up, you get your dollar back, plus another one. If 1 of the 20 noneven (18 odd, 0, and 00)..
Find the var for one year at the given probability : Find the VAR for one year at a probability of 0.05. Identify and use the most appropriate method given the information you have. Using the information you obtained in part a, find the VAR for one day.
Company record its expenses incurred to generate the revenue : The rule that requires financial statements to reflect the assumption that the business will continue operating instead of being closed or sold, unless evidence shows that it will not continue, is the:
Confidence interval as reported in the article : Give the confidence interval as reported in the article. Is the reported interval in the form of an interval or is it in the form of estimate ± margin of error? If it is not in interval form, state it in interval form.
What expenditure for advertising will yield a maximum profit : The height, h(x), of a punted rugby ball is given by where x is the horizontal distance in feet from the point where the ball is punted. How far, horizontally, is the ball from the kicker when it is at its highest point?
Calculate the var for the given situations : Calculate the VAR for the following situations: Use the analytical method and determine the VAR at a probability of 0.05 for a portfolio  in which the standard deviation of annual returns is $2.5 million.

Reviews

Write a Review

 

Risk Management Questions & Answers

  A firm has total assets with a market value of 1500000 it

a firm has total assets with a market value of 1500000. it has one issue of 1000 zero coupon bonds outstanding each

  Describe its associated risks

How can information itself provide a competitive advantage to an organization? Give two or three examples. For each example, describe its associated risks.

  What do you mean by negative working capital

What do you mean by negative working capital? Explain with examples. What are the mitigation measures available to a bank to prevent (i) over-trading and (ii) diversion risk?

  How would the policy statements help with the risk

How would these policy statements help with that risk? What residual risk may remain once these 7 policies have been implemented? What is your recommendation for that residual risk?

  Describe pros and cons of hedging versus not hedging risk

Describe the pros and cons of hedging versus not hedging the risk. Use an example where possible.

  Discuss measures of capital market efficiency

Discuss various measures of capital market efficiency and how efficient capital markets contribute to the efficiency in the market for goods and services

  Determine the future value at this resp

Determine the future value at this RESP at Roland's age 17 and create a mutual fund portfolio with at least two different funds that is consistent with a growth objective and a long term investment horizon.

  Analyze risk management processes

Examine the nature of risk within a firm through losses and opportunities with a focus on the mitigation of risk and analyze risk management processes used to reduce risk exposures such as life, health, retirement, property and liability

  What is the maximum amount of money

Suppose earthquakes are predicted based on the seismic test information;i.e., an earthquake is predicted if a fault line is 1 mile or less away, and no earthquake is predicted otherwise. What is the maximum amount of money you are willing to pay f..

  Discuss basel iii sufficiently equips the financial system

Discuss whether Basel III sufficiently equips the financial system of a country to cope if a bank with a large derivatives book does end up declaring bankruptcy without catastrophic effects.

  Assignment on risk management

This assignment is required to critique a journal article on risk management. Your critique must include the following

  Project expected return risk

Project Expected Return Risk

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd