Motlanalo says October 19, 2017 at 12:16 pm Hi. I am stuck on Question 2 & 3. VaR. Please see my workings below and advise where I went wrong.Perhaps Q1. 1 day 95% VaR = 1.65 x $1m = $1 650 000 Q2. 1 day 99% VaR = 2.33 x $1m = $2 330 000 therefore 9day VaR = 1day VAR x ^9 = 2 330 000 x 3 =6 990 000 Log in to Reply

gromit says October 19, 2017 at 11:54 pm Q2 Answer in millions, as instructed ie 1.65 Q3 Std devn for 9 days is square root 9 x $1M = 3 VAR = 3 x 2.33 = 6.99 Thos should be marked right. Entering 7 is marked right. We need to adjust our answer tolerance. Log in to Reply

Motlanalo says October 20, 2017 at 12:09 pm Thank you for the clarity. I’m am glad to know that my workings are correct, only rounding issue

Manav says March 21, 2017 at 12:23 pm can anybody help me with the probability question? Log in to Reply

gromit says June 2, 2017 at 5:21 pm Let p be the probability of a return of 20 and (1-p) the probability of a return of 5 The expected value of these returns is: 20p + 5(1 – p) = 5 + 15p At break-even, this must equal the cost, 10. So: 10 = 5 + 15p 5 = 15p p = 1/3 or 0.3333 Check: EV of returns = 20 x 1/3 + 5 x (2/3) = 6.6667 + 3..3333 = 10 Log in to Reply

gromit says November 13, 2016 at 6:04 pm When you get over 50% the solutions are available. Is there one question that is a particular problem? Log in to Reply

Manav says March 21, 2017 at 12:21 pm I’m not able to get solutions. I am getting 60% Log in to Reply

gromit says November 15, 2017 at 8:10 pm Cash flows are reduced arbitrarily Once reduced, discount at risk free rate

jose says November 13, 2016 at 10:45 am Please, can we have access to the correct anwers and explanations? Thank you Log in to Reply

panawala says September 14, 2016 at 9:19 am Can u please provide solutions to the Questions…. Log in to Reply

Motlanalo says

Hi. I am stuck on Question 2 & 3. VaR. Please see my workings below and advise where I went wrong.Perhaps

Q1.

1 day 95% VaR = 1.65 x $1m = $1 650 000

Q2.

1 day 99% VaR = 2.33 x $1m = $2 330 000

therefore 9day VaR = 1day VAR x ^9

= 2 330 000 x 3

=6 990 000

gromit says

Q2 Answer in millions, as instructed ie 1.65

Q3 Std devn for 9 days is square root 9 x $1M = 3

VAR = 3 x 2.33 = 6.99

Thos should be marked right. Entering 7 is marked right. We need to adjust our answer tolerance.

Motlanalo says

Thank you for the clarity. I’m am glad to know that my workings are correct, only rounding issue

Manav says

can anybody help me with the probability question?

gromit says

Let p be the probability of a return of 20 and (1-p) the probability of a return of 5

The expected value of these returns is: 20p + 5(1 – p) = 5 + 15p

At break-even, this must equal the cost, 10. So:

10 = 5 + 15p

5 = 15p

p = 1/3 or 0.3333

Check: EV of returns = 20 x 1/3 + 5 x (2/3) = 6.6667 + 3..3333 = 10

gromit says

When you get over 50% the solutions are available. Is there one question that is a particular problem?

Manav says

I’m not able to get solutions. I am getting 60%

Zainab says

Facing the same problem.

Kim says

Obtained 60% but unable to see solutions?

Kim says

Question 5?

gromit says

Cash flows are reduced arbitrarily

Once reduced, discount at risk free rate

jose says

Please, can we have access to the correct anwers and explanations? Thank you

panawala says

Can u please provide solutions to the Questions….