Suppose you've estimated that the fifth-percentile value at risk ... Suppose you've estimated that the fifth-percentile value at risk of a portfolio is â30%. now you wish to estimate the portfolio's first-percentile var (the value below which lie 1% of the returns). will the 1% var be greater or less than â30%?.

Question

Kaya Blackwell

Mathematics

26 December, 20:00

Suppose you've estimated that the fifth-percentile value at risk ... Suppose you've estimated that the fifth-percentile value at risk of a portfolio is â30%. now you wish to estimate the portfolio's first-percentile var (the value below which lie 1% of the returns). will the 1% var be greater or less than â30%?.

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Answers (1)

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Darnell Hardin · Answer 1

The answer is Var will be not as much as the fifth percentile esteem in danger - 30%.

Explanation:

VaR is the measure utilized in hazard administration and portfolio investigation. VaR estimates the drawback danger of a portfolio. It tells about the more regrettable situation that a portfolio can involvement. It tells how much a speculator can lose in the portfolio in every time frame at a specific level of likelihood.

Fifth percentile estimation of hazard - 30%.