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CM2 Paper A Apr 23 Q7

S

sophieactrainee

Keen member
In question 7 iii), the solution in ASET says that the 10% Var is more than double the 5% VaR..

5% VaR = -1.0129

10% VaR = -1.0267

Probably being stupid here, but I don't agree?

Feel like this is going to be another silly numerical mistake that I am not seeing?
 
I see your point!

I believe the intent of the question is that you are investing 1. Therefore, your 5% point represents a 1.29% return, whilst your 10% point represents a 2.67% return. Therefore, the 10% point return is more than double the 5% point return.

Alvin.
 
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