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
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100%
Please explain both subparts.
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Transcribed Image Text:Question 13
We have a position worth $1,000,000 invested in TSLA (Tesla, Inc.). The volatility of TSLA is 1.5% per
day (about 23.8% per year).
6.
(a)
Please estimate the 21-day 99% percentage VaR. Please express your answer as percentage
and keep to two decimal places. (The average number of trading days per month is 21.)
(b)
„Please estimate the 5-day 95% dollar VaR. Please round your number to the nearest dollar.
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