What is the multiple for 95 percent confidence level?
Respuesta
0.95
1.65
2.33
2.85
Pregunta 2
Pregunta
What is the formula for calculating Value at Risk?
Respuesta
Daily standard deviation x Square root of (No of days)
Daily standard deviation x No of days
Daily standard deviation x Multiple for confidence level x No of days
Daily standard deviation x Multiple for confidence level x Square root of (No of days)
Pregunta 3
Pregunta
You are holding portfolio of Rs.1,00,000. The standard deviation is 21% per annum. What is monthly VAR at 99% confidence level?
Respuesta
Rs.1,750
Rs.4077.50
Rs.6,062
Rs.14,125
Pregunta 4
Pregunta
You own a portfolio of 10 crores. The daily standard deviation is 2%. What will be the loss for 10 days at 95 percent confidence interval.
Respuesta
Rs.104.36 lacs
Rs.63.25 lacs
Rs.330 lacs
Rs.200 lacs
Pregunta 5
Pregunta
Acceptable loss = Rs.2,33,000. Standard deviation of the security is 1.5 percent per day. What is the maximum acceptable investment where VAR should not exceed acceptable loss. The required confidence level is 99 percent and the investment is to be done for 9 days.