User Account

All Pages

Value at risk for the portfolio

Assignment Help Finance Basics
Reference no: EM13961087

Consider a position consisting of a $100,000 investment in asset A and a $100,000 investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. What is the 5-day 99% value at risk for the portfolio?

Reference no: EM13961087

Questions Cloud

Determine the optimal allocation of funds between two loans : The Bank of Elkins is allocating a maximum of $200,000 for personal and car loans during the next month. The bank charges 14% for personal loans and 12% for car loans. Both types of loans are repaid at the end of a 1-year period. Determine the optima..
Ewma model for forecasting volatility : A company uses an EWMA model for forecasting volatility. It decides to change the parameter from 0.95 to 0.85. Explain the likely impact on the forecasts.
Identifies a number of biases in the processes : The literature on attribution processes identifies a number of "biases" in the processes by which we perceive other persons. How do these biases influence the impressions we form of others as we interact with them
Write an essay on past academic experiences : Assume you are trying to switch universities in your second year and you want to continue your studies in Maryland from Canada. Write an essay on past academic experiences and your reasons for wishing to enroll to university of Maryland at this po..
Value at risk for the portfolio : Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. What is the 5-day 99% value at risk for the portfolio?
Persuasive paper on a legal or ethical issue : For your long paper assignment, you will be asked to write a persuasive paper on a legal or ethical issue of your choice related to the healthcare industry. The topic of the paper needs to be a narrow issue that you can research thoroughly and de..
Determine the dynamic reactions at supports a and b : The helicopter can produce a maximum downward air speed v = 24m/s in a slipstream of diameter D = 9 m. Knowing that the weight of the helicopter and crew is 15 kN and assuming air density ρ= 1.21 kg/m3 , determine the maximum load that helicopter ..
Estimate of the daily volatility : The parameter in the EWMA model is 0.9. Suppose that the exchange rate at 4 p.m. today proves to be 1.4950. How would the estimate of the daily volatility be updated?
What legal or ethical issues would you consider : What legal or ethical issues would you consider as you select participants, if you were granted permission to answer one of these questions through a structured study at your school or agency

Reviews

Write a Review

Finance Basics Questions & Answers

  Assume your firm is zero-growth and pays all its net income

assume your firm is zero-growth and pays all its net income in dividends each year also assume your firm can borrow

  Detailed financial analysis

I need a detailed Financial Analysis of JC Penny and Target stores for 5-years. Make sure you calculate all of the ratios and be sure to use the Financial Statements for the most recent fiscal year filed with the SEC.

  Microsoft is currently 30 per share suppose that the firm

microsoft is currently 30 per share. suppose that the firm announces a 2 for 3 stock change i.e. 3 shares today will

  Creating an outline about walmart company

Please help me out in creating an outline about Wal-Mart company with citations and references. Following points are important:

  We want to determine cost of equity for firm a we know

we want to determine cost of equity for firm a. we know that firm as target debt-to-equity ratio is 1.50. we also

  What are different types of alternative investment vehicles

What are the different types of alternative investment vehicles? Which is preferable and why? What factors could affect the choice of such a vehicle?

  What is meant by foreign exchange risk what specific

you are the treasury department for a multinational firm and have been asked to raise 20 million from the international

  Decision to pursue an education in business or finance

Part 1: Explain how you made the decision to pursue an education in Business or Finance. Include a summary of expenses related to that decision, such as: cost of tuition, cost of books, the interest you may pay on any loans, and any other associat..

  What was the capital gain yield

Each bond originally sold at its $1,000 par value. What was the yield to maturity of these bonds when they were issued?

  What is the purpose of long-term care insurance

What are they? What is the purpose of long-term care insurance?

  Looking ahead to 2012 the company estimates that its assets

ierce furnishings generated 2 million in sales during 2011 and its year-end total assets were 1.1 million. also at

  A project has a unit price of 5000 a variable cost per unit

a project has a unit price of 5000 a variable cost per unit of 4000 fixed costs of 17000000 and depreciation expense of

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!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +1-415-670-9521

Phone: +1-415-670-9521

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

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