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Scenario: Suppose a financial institution holds a well diversified $35,500,000 position in stocks. The variance of this position in relation to the overall S&P is equal to 1.95. Over the past year the average daily variation of the S&P is 160 basis points with standard deviation of 80 basis points. The z-score is 1.96. What is the stock value change that corresponds to a 95% probability that no stock changes will exceed this value? 162.574 basis points 465.76 basis points 132 basis points Q292 basis points

Scenario: Suppose a financial institution holds a well diversified $35,500,000 position in stocks. The variance of this position in relation to the overall S&P is equal to 1.95. Over the past year the average daily variation of the S&P is 160 basis points with standard deviation of 80 basis points. The z-score is 1.96. What is the stock value change that corresponds to a 95% probability that no stock changes will exceed this value? 162.574 basis points 465.76 basis points 132 basis points Q292 basis points

Glencoe Algebra 1, Student Edition, 9780079039897, 0079039898, 2018
Glencoe Algebra 1, Student Edition, 9780079039897, 0079039898, 2018
18th Edition
ISBN:9780079039897
Author:Carter
Publisher:Carter
Chapter4: Equations Of Linear Functions
Section4.5: Correlation And Causation
Problem 2CYU
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Scenario: Suppose a financial institution holds a well diversified $35,500,000 position in stocks. The variance of this position in relation to the overall S&P is equal to 1.95. Over the past year the average daily variation of the S&P is 160 basis points with a standard deviátion of 80 basis points. The z-score is 1.96. What is the stock value change that corresponds to a 95% probability that no stock changes will exceed this value? O 162.574 basis points 465.76 basis points 132 basis points O 292 basis points
Transcribed Image Text:Scenario: Suppose a financial institution holds a well diversified $35,500,000 position in stocks. The variance of this position in relation to the overall S&P is equal to 1.95. Over the past year the average daily variation of the S&P is 160 basis points with a standard deviátion of 80 basis points. The z-score is 1.96. What is the stock value change that corresponds to a 95% probability that no stock changes will exceed this value? O 162.574 basis points 465.76 basis points 132 basis points O 292 basis points
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