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Value at Risk Safe Bank (SB) calculates “Value at Risk” at 90% confidence level monthly, SB estimates mean and standard deviation of monthly returns on its portfolio to be 2% and 6%, respectively. Current portfolio value is $150 million a. If returns are normally distributed, what currently is the VAR of SB?
Value at Risk Safe Bank (SB) calculates “Value at Risk” at 90% confidence level monthly, SB estimates mean and standard deviation of monthly returns on its portfolio to be 2% and 6%, respectively. Current portfolio value is $150 million a. If returns are normally distributed, what currently is the VAR of SB?
gem505Lv10
22 Jan 2023
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