Illustrates an example of Frechet distribution
Illustrates an example of Frechet distribution?
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Fit a Frechet distribution to the twenty eight annual maxima of the SP500 index returns since 1960 to October 16th 1987, the business day before the ’87 crash. In that dataset the major fall was ‘just’ 6.7 percent. Now calculate the probability of different returns. For illustration, a 50-year return level is the level that on average must only be exceeded in one year every 50 years. The Frechet distribution provides the result as 24 percent. One business day later the index falls 20.4 Frechet.
Boeing Company is expecting to have EBIT next year of $10 million, with a standard deviation of $5 million. Boeing has $40 million in bonds with coupon of 8%, selling at par, which are being retired at the rate of $3 million annually. Boeing also has 200,000 shares of preferred stock, which pays ann
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