VaR question

Finance Junkie
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Joined: Tue Jul 24, 2012 4:56 pm

VaR question

Postby vandana.jain » Thu Nov 08, 2012 4:11 pm

Imagine a portfolio which holds two binary options, each with the same payoff and probability: USD -100 with a probability of 4% and USD 0 with a 96% probability. Assuming the underlying has uncorrelated returns, what is the VaR (95% confidence level, 1 day)?
Choose one answer.

a. The VaR is USD 100

b. The VaR is zero

c. The VaR is USD 200

d. None of the above
how to solve it..??


Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: VaR question

Postby content.pristine » Fri Nov 09, 2012 2:24 pm

Return to “FRM Part I”



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