Analytical VaR Use the table below at the given level of accuracy: Critical values for VaR calculations. a Za 10% -1.282 5 -1.645 1 -2.326 Diamond Inc. is an investment company. One of its portfolios has a current market value of $25,000,000 and its returns follow a normal distribution with a mean of 8% and a standard deviation of 16% per year. At a 90% confidence level a. What is the portfolio VaR? $ Number Round your answer to the dollar. Do NOT use negative sign! b. What is the the minimum value of the portfolio during the next year? $ Number Round your answer to the dollar c. What is the portfolio ES? $ Number Round your answer to the dollar. Do NOT use negative sign!

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Question
Analytical VaR
Use the table below at the given level of accuracy:
Critical values for VaR calculations.
a
Za
10%
-1.282
5
-1.645
1
-2.326
Diamond Inc. is an investment company. One of its portfolios has a current market value of $25,000,000 and its
returns follow a normal distribution with a mean of 8% and a standard deviation of 16% per year. At a 90%
confidence level
a. What is the portfolio VaR?
$ Number
Round your answer to the dollar. Do NOT use negative sign!
b. What is the the minimum value of the portfolio during the next year?
$ Number
Round your answer to the dollar
c. What is the portfolio ES?
$ Number
Round your answer to the dollar. Do NOT use negative sign!
Transcribed Image Text:Analytical VaR Use the table below at the given level of accuracy: Critical values for VaR calculations. a Za 10% -1.282 5 -1.645 1 -2.326 Diamond Inc. is an investment company. One of its portfolios has a current market value of $25,000,000 and its returns follow a normal distribution with a mean of 8% and a standard deviation of 16% per year. At a 90% confidence level a. What is the portfolio VaR? $ Number Round your answer to the dollar. Do NOT use negative sign! b. What is the the minimum value of the portfolio during the next year? $ Number Round your answer to the dollar c. What is the portfolio ES? $ Number Round your answer to the dollar. Do NOT use negative sign!
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