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.
A corporation enters in a five-year interest rate swap along with a swap bank wherein it agrees to pay the swap bank a fixed-rate of 9.75 percent annually on a notional amount of DM15,000,000 and attain LIBOR - ½ percent. As of the second reset date,
Suppose today's settlement price on a CME DM futures contract is $0.6080/DM. You have a short position in one contract. Your margin account presently has a balance of $1,700. The next three days' settlement prices are $0.6066, $0.6073, & $0.5989. Compu
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