CIMA Financial Strategy F3 Question # 27 Topic 3 Discussion

CIMA Financial Strategy F3 Question # 27 Topic 3 Discussion

F3 Exam Topic 3 Question 27 Discussion:
Question #: 27
Topic #: 3

PPA owns $500,000 of shares in Company ABB. Company ABB has a daily volatility of 2% of its share price

Calculate the 12-day value at risk that shows the most PPA can expect to lose during a 12-day period (PPA wishes to be 90% certain that the actual loss in any month will be less than your predicted figure)

Give your answer to the nearest thousand dollars.

F3 Question 27


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