d $100M in an investment whose annual standard deviation is 0.2. Compute the 1% VaR of this position at the daily horizon. Assume there are 252 trading days in a year. Enter your answer as a positive number to the second digit after the decimal point

d $100M in an investment whose annual standard deviation is 0.2. Compute the 1% VaR of this position at the daily horizon. Assume there are 252 trading days in a year. Enter your answer as a positive number to the second digit after the decimal point

Survey of Accounting (Accounting I)

8th Edition

ISBN:9781305961883

Author:Carl Warren

Publisher:Carl Warren

Chapter15: Capital Investment Analysis

Section: Chapter Questions

Problem 15.1.2MBA

See similar textbooks

Related questions

Q: An investment has doubled in 8 years. What is the annually compounded rate of return? Select one:…

A: Period = 8 Years Investment value = 1 Future value = 2

Q: A bank is attempting to determine where its assets should be invested during the current year. At…

A: The investment decision is an important function for an investment manager as he/she has to decide…

Q: Consider that an investor has a total of £300,000 to invest. The investor invested £200,000 in asset…

A: Portfolio standard deviation formula: Value at Risk is calculated by standard deviation of…

Q: Suppose that you have $9,000 in a rather risky investment recommended by your financial advisor.…

A: Initial Amount Invested = $ 9000 First year downfall in Invested amount = $ 9000 * 40% = $ 3600…

Q: u have 100 million dollars in your investment account and choose to keep your money allocated in the…

A: Rebalancing a portfolio entails changing the weightings of different asset classes in your…

Q: Suppose you are the manager of a bank whose $150 billion of assets have an average duration of six…

A: The net worth for any institution, firm and individual refers to excess of assets over liabilities…

Q: Given are the following possible dollar returns (dividends plus capital gains) over the coming year…

A: Percentage return in recession (R1) = -1000/10000 = -10% Percentage return in normal year (R2) =…

Q: Suppose money invested in a hedge fund earns 1% per trading day. There are 250 trading days per…

A: Given data; Return on investment = 1% Number of trading days = 250 investment amount = $100

Q: Crane Telecommunications Corp. has made an investment in another company that will guarantee it a…

A: The present value is the value of the sum received at time 0 or the current period. It is the value…

Q: Suppose that you have $9,000 in a rather risky investment recommended by your financial advisor.…

A: it is given that Investment - $9000 1st yr – -40% Second yr - +50% Financial advisor says there is…

Q: Suppose a bond fund has an initial portfolio value of $100 million. The following table provides the…

A: Doller weighted return Doller weighted rate of return is a measure to identify the performance of an…

Q: You want to check if GRBH stock is fairly priced in the markets by using the fundamental analysis.…

Q: In 2011, an 1880-O Morgan silver dollar sold for $13,113. Required: What was the rate of return on…

A: Calculation of rate of return: Rate of return on investment is 7.51%.Excel spread sheet:

Q: The New Fund had average daily assets of $2.2 billion last year. The fund sold $400 million worth of…

A: Turnover ratio is used to measures the efficiency of company to generate revenue with company asset.…

Q: what is the payback in this investment, assuming that the savings accrue over the whole year?

A: Payback period refers to the period within which the sum invested by the company in a project will…

Q: An investment has had returns of 15 percent, 10 percent, -16 percent, and 27 percent over the last…

A: Year Return 1 15% 2 10% 3 -16% 4 27%

Q: What is the current value of Frocks & Socks Clothiers, Inc.to an investor who has a required rate of…

A: In this question we requires to calculate Current Stock Price P0 using the Dividend Discount Model:…

Q: Five years ago, a hedge fund started with $200 million of assets under management and generated an…

A: (a) Time-Weighted Rate of Return ( TWR ) TWR = (1+HPR1)×(1+HPR2)×......×(1+HPRn)-1 where, TWR = Time…

Q: The New Fund had average daily assets of $3.9 billion last year. The fund sold $540 million worth of…

A: Turn over ratio is the ratio of total fund sold to average daily assets. It is used to calculate the…

Q: 1) Universal Auto Limited has a zero coupon bond outstanding with a $50,000 face value that matures…

A: Hi There, Thanks for posting the questions. As per our Q&A guidelines, must be answered only one…

Q: Erik Fineman estimates that over the past five years the arithmetic average return of his Bitcoin…

A: In the given question we require to calculate the return during the third year.

Q: An investment produced annual rates of return of 4%, 8%, 14% and 6%, respectively, over the past…

A: Standard deviation is the best meausre of risk. It meausres dispersion around risk. It can be…

Q: What is the approximate standard deviation of returns if over the past 4 years an investment…

A: Working note:

Q: Suppose the returns on a particular asset are normally distributed. Also suppose the asset had an…

A: Given: Particulars Return Expected return 11.50% Standard deviation Particulars Return…

Q: se you have $100,000 in cash, and you decide to borrow another $25,000 at a 6% interest rate to…

A: The expected return is the return of the portfolio which is the sum of each potential return that is…

Q: How much would you pay for one share in Company TYK?

A: Information Provided: Discount rate = 10% Growth rate = 6% Dividend at the 7th year = $1

Q: A bank is attempting to determine where its assets should be invested during the current year. At…

A: Linear Programing(LP) is a mathematical tool used to solve for values having various constraints to…

Q: Suppose money invested in a hedge fund earns 1% per trading day. There are 250 trading days per…

A: Given Earning = 1% per trading day Today days = 250

Q: If Quail Company invests $50,000 today, it can expect to receive $10,000 at the end extra $6,000 at…

A: calculation of net present value are as follows

Q: You are interested in investing in a company that expects to grow steadily at an annual rate of 6…

A: Stock price = Dividend * (1+ growth rate ) / ( required rate of return - growth rate )

Q: Based on a 90% confidence level, how many exceptions in backtesting a VAR would be expected over a…

A: On a 90% confidence level, no. of exceptions in backtesting a VAR that can be expected over a…

Q: Year-to-date, Oracle had earned a -1.44 percent return. During the same time period, Valero Energy…

A: Portfolio return = ( Weight 1 * Return 1) + ( weight 2 * Return 2) +...(weight n * Return n)

Q: Suppose money invested in a hedge fund earns 1% per trading day. There are 250 trading days per…

A: Annual rate of return refers to the return earned on an investment in a year. Annual rate of return…

Q: An investment produced annual rates of return of 5%, 12%, 7%, 11% and 3% respectively over the past…

A: Standard Deviation is Square root of Sum of [(Returns - Mean Returns)^2/N]. Mean Return = Sum of All…

Q: An investor plans to divide $200,000 between two investments. The first yields a certain profit of…

A: Introduction: This problem is solved by considering 2 variables of X & Y Hence W = aX - bY Mean…

Q: Suppose you makes a $1,000 initial investment today, a $4,000 additional investment at the end of…

A: Money-weighted index is the internal rate of return of the investment made. The IRR is the rate at…

Q: (1) If you invest $3000 at the beginning of the year and get back $330 at the end of the year, what…

A: Note: As per Bartleby guidelines, only one question can be answered. Since, you haven't mentioned…

Q: What was its turnover ratio?

A: A turnover ratio represents the quantity of property or liabilities that a business enterprise…

Q: Hollywood Shoes would like to maintain their cash account at a minimum level of $67,000, but expect…

A: Given: cash account at a minimum level of $67,000 net daily cash flows to be $5,700 marketable…

Q: The HUT is evaluating a 5 year investment projected to yield the following relevant cash flows over…

A: Solution:- Net Present Value (NPV) means the net present value of cash inflows net of initial…

Q: The New Fund had average daily assets of $3.2 billion in the past year. The fund sold $500 million…

A: a.Given,Average Daily Assets = $3,200,000,000Fund Sold = $500,000,000a.Given,Average Daily Assets =…

Q: An investment of $100,000 in safe 10-year corporate bonds yields an average of 12% per year, payable…

A: Time value of money (TVM) is used to measure the value of money at different point of time in the…

Question

A bank has invested $100M in an investment whose annual standard deviation is 0.2. Compute the 1% VaR of this position at the daily horizon. Assume there are 252 trading days in a year. Enter your answer as a positive number to the second digit after the decimal point

Expert Solution

This question has been solved!

Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.

This is a popular solution!

SEE SOLUTION Check out a sample Q&A here

Step 1

VIEW

Step 2

VIEW

Trending now

This is a popular solution!

Step by step

Solved in 2 steps

SEE SOLUTION Check out a sample Q&A here

Knowledge Booster

Learn more about

Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, finance and related others by exploring similar questions and additional content below.

Similar questions

Suppose that $1,000 is deposited each year for five years into an equity (common stock) account earning 8% per year. During this period, general inflation is expected to remain at 3% per year. At the end of five years, what is the dollar value of the account in terms of today’s purchasing power (i.e., real dollars)?
It is anticipated that a bank stock that Robin Kim has invested $16,000 in will achieve an annual interest rate of 9%. Determine the doubling time for this investment using the doubling-time formula. How does this compare with the esti- mate given by the rule of 72?
It is anticipated that a bank stock that Katrina Byrd has invested $15,000 in will achieve an annual interest rate of 6%. Determine the doubling time for this investment using the doubling-time formula. How does this compare with the estimate given by the rule of 72?
A person invested $530 in an account growing at a rate allowing the money to double every 8 years. Write a function showing the amount of money in the account after tt years, where the annual growth rate can be found from a constant in the function. Round all coefficients in the function to four decimal places. Also, determine the percentage of growth per year, to the nearest hundredth of a percent.
You have 100 million dollars in your investment account and choose to keep your money allocated in the following proportion and rebalance each quarter. i. 60% in stocks via ETF SPY ii. 35% in bonds via ETF TLT iii. 5% in cash Over the month of september , SPYwent from $452 to $429, and TLT went from $149 per share to $144 per share. Cash has an interest rate of 0.1% annually. a) What is your overall account $ balance before rebalancing? What proportions of that is in SPY, TLT, and cash respectively? b) How do you rebalance your account to keep the allocation at 60-35-5 for SPY TLT and cash respectively? What to buy and what to selll in dollar amount?
A company just paid an annual dividend of $0.66. Dividends are expected to grow by 25% in 1 year, 20% in the second year, and 15% in the third year. After that, dividends are expected to continue to grow at an annual rate of 8% indefinitely. If the market's required rate of return on this stock is 17% per year. What is the current price per share?[Keep AT LEAST 4 decimal place on ALL intermediate steps. Round your final answer to 2 decimal places, expressed in dollars and cents (ie $12.34)] Current price =$ Blank 1. Calculate the answer by read surrounding text.
Suppose you pay $9,700 for a $10,000 par Treasury bill maturing in three months. What is the holding period return for this investment? (SHOW CALCULATION)
An investment of $185,575 is expected to generate returns of $65,000 per year for each of the next four years. What is the investment’s internal rate of return? Below is a table for the present value of $1 at compound interest. Year 6% 10% 12% 15% 1 0.943 0.909 0.893 0.870 2 0.890 0.826 0.797 0.756 3 0.840 0.751 0.712 0.658 4 0.792 0.683 0.636 0.572 5 0.747 0.621 0.567 0.497 Below is a table for the present value of an annuity of $1 at compound interest. Year 6% 10% 12% 15% 1 0.943 0.909 0.893 0.870 2 1.833 1.736 1.690 1.626 3 2.673 2.487 2.402 2.283 4 3.465 3.170 3.037 2.855 5 4.212 3.791 3.605 3.353 fill in the blank 1 %
Reiterpallasch Inc. has provided you the following data: the company expects to pay a dividend of $0.65 at the end of the year, and the dividend is expected to grow at a constant rate of 6.00% per year, the current price of a share of stock is $16.00 per share, and the flotation cost for issuing new shares is 10.00%. The yield on the company's outstanding bonds is 7.75%, and the tax rate is 25%. The target capital structure consists of 40% debt, with the remainder consisting of common equity. Assuming the company MUST issue new stock to finance its capital budget, what is the company's WACC?
Sandhill Departmental Stores management has forecasted a growth rate of 40 percent for the next two years, followed by growth rates of 25 percent and 20 percent for the following two years. It then expects growth to stabilize at a constant rate of 7.5 percent forever. The firm paid a dividend of $3.90 recently. If the required rate of return is 14 percent, what is the current value of Sandhill's stock? (Round all intermediate calculations and final answer to 2 decimal places, e.g. 15.25.) Current value $Type your answer here
Financial analysts forecast Safeco Corp.’s (SAF) growth rate for the future to be 10 percent. Safeco’s recent dividend was $1.55.What is the value of Safeco stock when the required return is 12 percent? (Round your answer to 2 decimal places.)
Al-Quds bank stock dividend has grown at 0.04 percent per year for as long as anyone can remember. Investors believe that a year from now the company will pay a dividend of $2 and that dividends will continue their 0.04 percent growth indefinitely. If the market’s required return on the bank stock is 0.16 percent, what is the price of the stock