Return to question Problem 13-7 Value-at-Risk (VaR) Statistic (LO4, CFA6) DW Co.

Question

Return to question Problem 13-7 Value-at-Risk (VaR) Statistic (LO4, CFA6) DW Co. stock has an annual return mean and standard deviation of 10 percent and 33 percent, respectively. What is the smallest expected loss in the coming year with a probability of 2.5 percent? (A negative value should be indicated by a minus sign. 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.) 3 Answer is complete but not entirely correct. 54.6801%

Explanation / Answer

Smallest expected loss is calculated as :

Expected loss = (Annual return mean - standard deviation) probability

= (10% - 33%) .025

= -23% * .025

=57.5%

Please ask if any doubt arises .

Thanks.!

Related Questions

Navigate

• Browse (All)
• Browse R
• Subjects

---

---

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.