Finance Assignment | Professional Writing
May 29th, 2020
A bank holds a trading portfolio (long position) valued at $100,000. The daily returns on this portfolio are independently distributed. Based on the bank’s estimation, the DEAR for the bank’s portfolio is $3000. Further, based on an independent estimate, the bank estimates that over the 10-day horizon, the portfolio value could go up by 10% with a 5% chance. What is the 10-day VAR?
Don't use plagiarized sources. Get Your Assignment on
Finance Assignment | Professional Writing
Just from $13/Page
Select one:
a. $30,000
b. $3,000
c. $9,487
d. $49,500
e. $10,000
Get Finance homework help today