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28. Suppose that the value of an index of the stock market increases on average about 0.02% per day (calculated with con
Posted: Thu Apr 28, 2022 1:46 pm
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- 28 Suppose That The Value Of An Index Of The Stock Market Increases On Average About 0 02 Per Day Calculated With Con 1 (15.78 KiB) Viewed 18 times
28. Suppose that the value of an index of the stock market increases on average about 0.02% per day (calculated with continuous discounting) and a volatility (1.c., standard deviation) of 1% per day. Assuming that the returns are Normally distributed, what would be the 5% Daily Expected Shortfall (ES) expressed as a percent return? (Note: Enter your answer rounded to the nearest 2 decimal places. (For example, - 1.2345% should be entered as -1.23%) (2 points Extra Credit)