FINANCE-The current price of the BP stock is $53.
Question # 00131368
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Updated on: 11/08/2015 03:28 PM Due on: 12/08/2015
- The current price of the BP stock is $53. The distribution of the BP’s stock price over the 10-day period is given below. Compute the 99% 10-day VaR and the expected shortfall:
Price ($) | 40 | 42 | 49 | 50 | 55 | 60 | 65 |
Probability | 0.003 | 0.005 | 0.1 | 0.2 | 0.522 | 0.1 | 0.07 |
- Calculate the loss distribution on BP stock (i.e. calculate losses relatively to the current price).
- What is a 10-day VaR?
- What is the Expected shortfall?
- Continue with the previous exercise, but suppose that the lowest price is changed to $30.
- Will VaR change?
- Will expected shortfall change? How?
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Solution: FINANCE-The current price of the BP stock is $53.