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Sample 1: Measure VaR as 1-day 95% USD
VaR and employ cash valuation. Today’s date is March 2, 2001. A
gold portfolio comprises: 200 ounces of gold to be received in
one trading day; a long position of 6 April contracts; and a
short position of 2 June contracts. Construct a primary mapping
for the portfolio based upon three key factors:
Sample 2: In our discussion of holdings remappings, we
illustrated three approaches for fixed cash-flows and one for
interest-rate caps. Of the three fixed cash-flow approaches,
which is most analogous to the cap approach?
Sample 3: Given a principal-component remapping, if
is non-singular and joint-normal, is
necessarily joint-normal?
Sample 4: A Monte Carlo transformation employs a
sample size m = 5000. For a particular portfolio it has a
2.6% standard error. What sample size should be used to achieve
a standard error of 1.0%? |
