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Ok, I’ll make it easy. Please answer to below question.
A portfolio of shares has a mean value of $10m with a daily standard deviation of $1m.
To the 99% confidence level, what is the value at risk over 9 days?
Enter your answer in millions
Value at risk is 7m
It means 99% confidence level value of share portfolio is equal or more than $3m after 9 days?Please explain.
Thanks!Dear Sir,
Please ignore above question from me and it should be revised as follows;1. A portfolio of shares has a mean value of $10m with a daily standard deviation of $1m.
To the 95% confidence level, what is the value at risk over one day?
Enter your answer in millions
VAR is $ 1.65 and Value of share is $ 8.352. A portfolio of shares has a mean value of $10m with a daily standard deviation of $1m.
To the 99% confidence level, what is the value at risk over 9 days?
Enter your answer in millions
VAR is 7.00 and Value of share is $ 3.00If we change above question into 1 day at 99% confidence level,
VAR is 2.33 and Value of share is $ 7.67
How could share value drop to $ 3.00 within 9 days at 99% confidence level as your question?
I guess, daily standard deviation should be 1% instead of $1m
Please explain.
Thanks!Phuong
Dear Sir,
Two questions on the practice test are as follows:
1. A portfolio of shares has a mean value of $10m with a daily standard deviation of $1m.
To the 95% confidence level, what is the value at risk over one day?
Enter your answer in millions
Answer is $ 1.65 ($ 10.00 – $ 8.35) – The answer is same and no issue.2. A portfolio of shares has a mean value of $10m with a daily standard deviation of $1m.
To the 99% confidence level, what is the value at risk over 9 days?
Enter your answer in millions
Answer is $ 3.00 ($ 10.00 – $ 7.00)
But correct answer as per your result is $ 7.00. This is value of share. Not value at risk.Same type of 2 question, but calculating answer in different way?
Please explain.
Thanks!Phuong