Problem 2. Consider the following university endowment funds. They are invested in diversified portfolios with the indicated returns and risks. Calculate Value at Risk (VaR) for each endowment at 5%, at 2.5%, and at 1%. University Central Eastern Northern Southern Western Endowment millions 750 800 1,200 500 600 Weekly Return% 0.8 0.6 0.5 0.9 0.75 Standard Deviation % 2 1.5 3 2 2.5

Problem 2. Consider the following university endowment funds. They are invested in diversified portfolios with the indicated returns and risks. Calculate Value at Risk (VaR) for each endowment at 5%, at 2.5%, and at 1%. University Central Eastern Northern Southern Western Endowment millions 750 800 1,200 500 600 Weekly Return% 0.8 0.6 0.5 0.9 0.75 Standard Deviation % 2 1.5 3 2 2.5

Financial Reporting, Financial Statement Analysis and Valuation

8th Edition

ISBN:9781285190907

Author:James M. Wahlen, Stephen P. Baginski, Mark Bradshaw

Publisher:James M. Wahlen, Stephen P. Baginski, Mark Bradshaw

Chapter2: Asset And Liability Valuation And Income Recognition

Section: Chapter Questions

Problem 8QE

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