medium · Quantitative Finance qf-core
Consider a portfolio of $100M with an expected daily return of 0.05% and a daily standard deviation of 1.2%. Assuming returns are normally distributed, calculate the 1-day 99% Expected Shortfall (ES_99%), given z_0.99 = 2.326 and φ(2.326) ≈ 0.0267.
- $2.74M
- $3.15M
- $3.25M
- $1.20M
Sign up free to see the explanation and track your rank →
More Quantitative Finance qf-core practice
- If the flat yield curve is at 4% (continuously compounded), what is the bond's price?
- As the number of assets n approaches infinity, what happens to the total portfolio varianc
- What is the fair no-arbitrage price for a six-month (T = 0.5) forward contract?
- Calculate the price of a zero-coupon bond that pays $1000 in two years, given that the one
- If the risk-neutral probability of an up move is p = 0.6, what is the expected stock price
- According to the Merton portfolio problem, what is the optimal fraction π^* of wealth to h
- A portfolio has a daily expected return of 0.05% and a daily volatility of 1.2%. Using the
- If yesterday's return was 2% and the conditional variance was 0.0001, what is the updated