Which of the following statements regarding generalized extreme value(GEV) and peakover-threshold(POT) is CORRECT?
Tom is evaluating the existing risk management system of RR Asset Management and identified the following two risks.
Hugo Nelson is preparing a presentation on the attributes of value at rish. Which of Nelson’s following statements is not correct?
Tim Jones is evaluating two mutual funds for an investment of $100,000. Mutual fund A has $20,000,000 in assets, an annual expected return of 14 percent, and an annual standard deviation of 19 percent. Mutual fund B has $8,000,000 in assets, an annual expected return of 12 percent, and an annual standard deviation of 16.5 percent. What is the daily value at risk (VAR) of Jones’ portfolio at a 5 percent probability if he invests his money in mutual fund A?
