20001948
Description
Question 1
Question
What is the multiple for 95 percent confidence level?
Answer
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0.95
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1.65
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2.33
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2.85
Question 2
Question
What is the formula for calculating Value at Risk?
Answer
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Daily standard deviation x Square root of (No of days)
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Daily standard deviation x No of days
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Daily standard deviation x Multiple for confidence level x No of days
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Daily standard deviation x Multiple for confidence level x Square root of (No of days)
Question 3
Question
You are holding portfolio of Rs.1,00,000. The standard deviation is 21% per annum. What is monthly VAR at 99% confidence level?
Answer
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Rs.1,750
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Rs.4077.50
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Rs.6,062
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Rs.14,125
Question 4
Question
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.
Answer
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Rs.104.36 lacs
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Rs.63.25 lacs
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Rs.330 lacs
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Rs.200 lacs
Question 5
Question
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.
Answer
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Rs.66,66,667
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Rs.22,22,222
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Rs.7,40,741
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Rs.1,00,00,000
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