motlanalo saysOctober 19, 2017 at 12:16 pmHi. I am stuck on Question 2 & 3. VaR. Please see my workings below and advise where I went wrong.PerhapsQ1. 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 000Log in to Reply

Ken Garrett saysOctober 19, 2017 at 11:54 pmQ2 Answer in millions, as instructed ie 1.65Q3 Std devn for 9 days is square root 9 x $1M = 3VAR = 3 x 2.33 = 6.99Thos should be marked right. Entering 7 is marked right. We need to adjust our answer tolerance.Log in to Reply

motlanalo saysOctober 20, 2017 at 12:09 pmThank you for the clarity. I’m am glad to know that my workings are correct, only rounding issue

msj4396 saysMarch 21, 2017 at 12:23 pmcan anybody help me with the probability question?Log in to Reply

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

Ken Garrett saysNovember 13, 2016 at 6:04 pmWhen you get over 50% the solutions are available. Is there one question that is a particular problem?Log in to Reply

Ken Garrett saysNovember 15, 2017 at 8:10 pmCash flows are reduced arbitrarilyOnce reduced, discount at risk free rate

josetamara saysNovember 13, 2016 at 10:45 amPlease, can we have access to the correct anwers and explanations? Thank youLog in to Reply

panawala saysSeptember 14, 2016 at 9:19 amCan 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

Ken Garrett 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

msj4396 says

can anybody help me with the probability question?

Ken Garrett 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

Ken Garrett says

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

msj4396 says

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

zainabf says

Facing the same problem.

mazoe2017 says

Obtained 60% but unable to see solutions?

mazoe2017 says

Question 5?

Ken Garrett says

Cash flows are reduced arbitrarily

Once reduced, discount at risk free rate

josetamara says

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

panawala says

Can u please provide solutions to the Questions….