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RSK4805 Assignment 4 (COMPLETE ANSWERS) 2024 - DUE September 2024 ; 100% TRUSTED Complete, trusted solutions and explanations. Ensure your success with us.. R51,35
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RSK4805 Assignment 4 (COMPLETE ANSWERS) 2024 - DUE September 2024 ; 100% TRUSTED Complete, trusted solutions and explanations. Ensure your success with us..
RSK4805 Assignment 4 (COMPLETE ANSWERS) 2024 - DUE September 2024 ; 100% TRUSTED Complete, trusted solutions and explanations. Ensure your success with us..
, Exam (elaborations)
RSK4805 Assignment 4 (COMPLETE ANSWERS) 2024
Course
Market Risk Management (RSK4805)
Institution
University Of South Africa (Unisa)
Book
Market Risk Management
RSK4805 Assignment 4 (COMPLETE ANSWERS) 2024 - DUE September
2024 ; 100% TRUSTED Complete, trusted solutions and explanations. Ensure
your success with us..
Ass 4 Q1 Suppose that each of two investments has a 4% chance of a loss of
R15 million, a 1% chance of a loss of R1.5 million and a 95% chance of a
profit of R1.5 million. They are independent of each other. Calculate the
expected shortfall (ES) when the confidence level is 95%? The expected
shortfall for one of the investments is the expected loss conditional that the
loss is in the 5% tail. Given that we are in the tail, there is a Answer % chance
than the loss is R1.5 million and an Answer % chance that the loss is R15
million. The expected loss is equal to R Answer million. Round your answer to
two decimal places (e.g., 10.15 million) Q2 1. Suppose we estimate the one-
day 97.5% VaR from 1,100 observations as 5 (in millions of dollars). By fitting
a standard distribution to the observations, the probability density function of
the loss distribution at the 97.5% point is estimated to be 0.04. The standard
error of the VaR estimate is $Answer million. Round your answer to two
decimal places (e.g., 0.15 million) 2. A financial institution owns a portfolio of
options dependent on the US dollar–sterling exchange rate. The delta of the
portfolio with respect to percentage changes in the exchange rate is 6.5. If the
daily volatility of the exchange rate is 0.5% and a linear model is assumed.
The estimated 10-day 99% VaR is $Answer. Round your final answer to four
decimal places (e.g., 0.3456) Q3 Suppose that the change in the value of a
portfolio over a one-day time-period is normal with a mean of zero and a
standard deviation of $5 million. 1. The one-day 97.5% VaR is $Answer
million. Round your answer to two decimal places (e.g., 12.23 million) 2. The
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