Problem 13-14 Value-at-Risk (VaR) Statistic (LO4, CFA6) a. A stock has an annual return of 11.4...

Problem 13-14 Value-at-Risk (VaR) Statistic (LO4, CFA6)

a. A stock has an annual return of 11.4 percent and a standard deviation of 58 percent. What is the smallest expected gain over the next year with a probability of 5 percent? (Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places.)

Smallest Expected Gain __________%

b. Does this number make sense?

Yes
No

Expert Solution

jeff jeffy answered 1 year ago

Illustrate the difference between the value-at-risk (VaR) and conditional value-at-risk (C-VaR) measures

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