Jack Richardson wants to compute the 1-month VaR of a portfolio with a market value of USD 10 million, with an average monthly return of 1% and average monthly standard deviation of 1.5%.What is the portfolio VaR at 99% confidence level?Probability Cumulative Normal distribution0.90 1.2820.91 1.3410.92 1.4050.93 1.4760.94 1.5550.95 1.6450.96 1.7510.97 1.8810.98 2.0540.99 2.326
Answer(s): D
Oliver McCarthy owns a portfolio of bonds.Which of the following choices equals the modified duration of Oliver's portfolio?
Answer(s): B
Alpha Bank estimates its 1-month, 95% VaR is 30 million EUR. This means that in the next month, there is a
Answer(s): C
An asset manager just bought a coupon paying bond with principal value $100,000 for $87,000 with a current yield of 4.7%. He assumes that if the yields change to 5.7% the price of the bond would be $84,500. Based on this assumption what is the modified duration of the bond?
James Johnson has a $1 million long position in ThetaGroup with a VaR of 0.3 million, and $1 million long position in VolgaCorp with a VaR of 0.4 million. The returns of the two companies have zero correlation.What is the portfolio VaR?
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