Scooterpye
05-16-2007, 01:01 PM
I noticed that a couple of people put their numerical answer for this as $3810, which I imagine is based on the percentage change in the 80th percentile event: (94.38-98.38)/98.38 = -3.81%
Seems reasonable and normal, but...
In the section on estimating volatility, Hull used the ln of the ratio of two numbers. Using this method, the change would be ln(94.38/98.38) = -3.89%, which would mean the VaR (if there's no other fault in this answer) would be $3890.
Which answer, if either, do you think is correct? Do you think the CAS gives partial credit if you used the wrong method of calculating percentage change?
Seems reasonable and normal, but...
In the section on estimating volatility, Hull used the ln of the ratio of two numbers. Using this method, the change would be ln(94.38/98.38) = -3.89%, which would mean the VaR (if there's no other fault in this answer) would be $3890.
Which answer, if either, do you think is correct? Do you think the CAS gives partial credit if you used the wrong method of calculating percentage change?