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What is the one-day var if there is change in the log return

Suppose that the change in the log return of a portfolio over a one-day time period is normal with a mean of zero and a standard deviation of 1%. The initial value of the portfolio is $5 million. What is:

a) the one-day 97.5% VaR?

and

b) the five-day 97.5% VaR?

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Finance Basics: What is the one-day var if there is change in the log return

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Solution Preview :

Prepared by a verified Expert

Finance Basics: What is the one-day var if there is change in the log return

Reference No:- TGS0675548

Have a Question? (oR Write a Review)

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Solution Preview :

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Finance Basics: What is the one-day var if there is change in the log return

Reference No:- TGS0675548

Recent Questions Asked Finance Basics

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