VaR Continued...1

swarnendupathak
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VaR Continued...1

Postby swarnendupathak » Sat Nov 03, 2012 2:07 am

A stock ha a annual expected return of 16% & annual volatility of 18%, What is the 95% VaR of this stock for one quarter???
(a) -15.5%
(b) -10.85%
(c) -16.25%
(d) 18%

Please state the formula to calculate the VaR...

Swarnendu

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AMITAG1990
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Re: VaR Continued...1

Postby AMITAG1990 » Sat Nov 03, 2012 7:07 pm

hello,
till best of my knowledge, For VaR related to expected return it is.,

VaR (%)=(Mean- StdDEV*CI)

here, {16/4-(18/2)*1.65}= -10.85%

swarnendupathak
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Posts: 119
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Re: VaR Continued...1

Postby swarnendupathak » Mon Nov 05, 2012 9:54 am

Thanks... ya got it

Swarnendu

swarnendupathak
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Posts: 119
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Re: VaR Continued...1

Postby swarnendupathak » Mon Nov 05, 2012 11:52 am

i think when u are scalling down the variance it should be with the sqrt of time.

Swarnendu

content.pristine
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Re: VaR Continued...1

Postby content.pristine » Tue Nov 06, 2012 2:11 pm

exactly, thats why he used square root of 4 = 2 :)
Perfect answer Amit!
8-)


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