Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. finance
  3. 1 pts imagine that you are managing a trading port

1 pts Imagine that you are managing a trading portfolio with 250 shares of stock...

70.2K

Verified Solution

Question

Finance

image
1 pts Imagine that you are managing a trading portfolio with 250 shares of stock in Samsung. The current price is 5,000 Won (the South Korean currency). The standard deviation of the daily return on Samsung estimated over the past 3 months is 5 percent. The $/Won exchange rate is currently 1/1,141 (that is $1 = 1,141 Won), and the standard deviation of the exchange rate (in percentage terms) is 1% per day, again using the past 3 months of data. Also, the correlation between the percentage change in the exchange rate and the return on Samsung is estimated to be equal to 0.9. Use delta normal to compute the 1-day, 99% VAR for the portfolio from the perspective of a US bank (i.e. in US dollars). O 142 O 144 O 147 O 149 0 151

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students