MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN: 9781119256830
Author: Amos Gilat
Publisher: John Wiley & Sons Inc
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Problem 13-8 Value-at-Risk (VaR) Statistic (LO4, CFA6)
Woodpecker, Inc., stock has an annual return mean and standard deviation of 11.6 percent and 59 percent, respectively. What is the
smallest expected loss in the coming month with a probability of 2.5 percent? (A negative value should be indicated by a minus sign.
Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your
answer as a percent rounded to 2 decimal places.)
Smallest expected loss
13.41 %
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Transcribed Image Text:Problem 13-8 Value-at-Risk (VaR) Statistic (LO4, CFA6) Woodpecker, Inc., stock has an annual return mean and standard deviation of 11.6 percent and 59 percent, respectively. What is the smallest expected loss in the coming month with a probability of 2.5 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places.) Smallest expected loss 13.41 %
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