What is the formula for calculating Value at Risk?

Daily standard deviation x Multiple for confidence level x Square root of (No of days)

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

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Value at Risk

Dinesh Jain 5 perguntas

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1What is the multiple for 95 percent confidence level?
1. A0.95
2. B1.65
3. C2.33
4. D2.85
2What is the formula for calculating Value at Risk?
1. ADaily standard deviation x Square root of (No of days)
2. BDaily standard deviation x No of days
3. CDaily standard deviation x Multiple for confidence level x No of days
4. DDaily standard deviation x Multiple for confidence level x Square root of (No of days)
3You are holding portfolio of Rs.1,00,000. The standard deviation is 21% per annum. What is monthly VAR at 99% confidence level?
1. ARs.1,750
2. BRs.4077.50
3. CRs.6,062
4. DRs.14,125
4You 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.
1. ARs.104.36 lacs
2. BRs.63.25 lacs
3. CRs.330 lacs
4. DRs.200 lacs
5Acceptable 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.
1. ARs.66,66,667
2. BRs.22,22,222
3. CRs.7,40,741
4. DRs.1,00,00,000

Descrição: Chartered Accountancy Strategic Financial Management Quiz sobre Value at Risk, criado por Dinesh Jain em 30-10-2019.
Autor: Dinesh Jain
Idioma: English
Visualizações: 845
Etiquetas: strategic financial management chartered accountancy
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