Can you figure out of the value at risk is a measure that attempts to capture...

Can you figure out of the value at risk is a measure that attempts to capture the risk within a firm or investment portfolios. And the way of calculating value at risk assumes that daily returns are distributed according to a normal distribution and with high confidence of 95 percent, we can then calculate the value at risk as 1.65 standard deviations below the mean. That approach has been criticized following the financial crisis of 2008. Do you know the reasons why did it come like that?

Expert Solution

"That approach has been criticized"

The approach here essentially refers to an assumption of the normal distribution of daily returns with respect to investment portfolios. In a scenario of abrupt financial upheaval such as the 2008 crisis, the smooth normal distributions literally go for a toss, and new parameters factor in which drastically contort the "situation" or mathematically speaking, the probability distribution of daily returns.

The confidence of 95 percent has to be based on the assumption of an overall distribution of expected gains and returns. That behaviour, under extreme circumstances may does not follow a rather meticulous normal behaviour, and hence it comes like that

orchestra answered 2 years ago

An analysis carried out during and shortly after the project life cycle that attempts to capture...

An analysis carried out during and shortly after the project life cycle that attempts to capture positive and negative learning is represented in which of the following? Performance evaluation Lessons learned Scenario analysis Strategic objectives Variance analyses

I cannot figure out this problem, I've made a few attempts at solving it. I could...

I cannot figure out this problem, I've made a few attempts at solving it. I could really use some help. The question is : 75.00 mL of 0.225 M HNO2 is titrated to its equivalence point with 0.100 M NaOH. What is the pH at its' equivalence point? Please help!

If you can distinguish between addition and condensation polymers, then you can figure out what the...

If you can distinguish between addition and condensation polymers, then you can figure out what the monomers are. Describe how you would do this for the three kinds of polymers.

Calculate the expected value with the information given. 1). You are trying to figure out if...

Calculate the expected value with the information given. 1). You are trying to figure out if you can make money off of a new, and, maybe, poorly constructed, dice rolling game. Each time you play you must wager exactly $1. If you roll a 1-4 on a ten sided die, you will then roll an 8 sided die and receive 10¢ times the number rolled. If you roll a 5-8 on the ten sided die, you will receive nothing. Finally,...

Capture DNS records in wireshark You can capture DNS records by executing a nslookup command You...

Capture DNS records in wireshark You can capture DNS records by executing a nslookup command You must report which packets represent your DNS query and its DNS response Capture DHCP records in wireshark The easiest way to capture DHCP records in wireshark is to Start wireshark capture Execute the following command ipconfig /renew You must report which packets represent a DHCP query and a DHCP response. show the steps with the step by step images.

What are two ways you can figure out the serotype of a bacteria? Why would you...

What are two ways you can figure out the serotype of a bacteria? Why would you not provide antibiotics for a salmonella infection? Under what circumstances would you give antibiotics?

Question 10. You want to figure out the risk aversion for your client. After showing him...

Question 10. You want to figure out the risk aversion for your client. After showing him a number of investment alternatives you find that the two alternatives below, A and B, give your client the same Utility. Using the standard definition for Utility: a) What is your clients risk aversion? b) What is your client’s utility for these two investments? Stdev A: 18% Stdev B: 15% E(r) A: 10% E(r) B: 7%

Describe some advantages and disadvantages of Value at Risk (VaR) as a risk measure relative to...

Describe some advantages and disadvantages of Value at Risk (VaR) as a risk measure relative to other risk measures

Please, read the code below so you can figure out what is the steps that are...

Please, read the code below so you can figure out what is the steps that are used. (Answer in words) import java.util.*; import java.io.*; / class WordHelper{ public static String vowels = "aeiouyAEIOUY"; //method to check whether a given character is vowel or not public static String[] sortByVowels(String[] words){ Integer[] noOfVowels = new Integer[words.length]; String[] newArray = new String[words.length]; newArray[i] = words[i]; int cnt = 0; for(int j = 0; j < words[i].length(); j++){ String temp = Character.toString(words[i].charAt(j));...

21. Which form of economic model attempts to capture a macroeconomic outcome by using only one...

21. Which form of economic model attempts to capture a macroeconomic outcome by using only one or just a handful of explanatory variables? (a) a fashion model; (b) a reduced-form model; (c) a naïve model; (d) multi-equation structural model that corrects for the homoskedasticity of its error terms. 22. A body of economic theory concedes that, in equilibrium, an economy does NOT necessarily reach full employment. This body of theory is most commonly associated with: (a) Jerome Powell; (c) John...

Question