Financial Risk Manager Part 1
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A trading desk manager at a financial institution oversees currency swap lines and has gathered weekly return data over a year for a portfolio of currency swaps. The mean weekly return calculated from this data is 0.71%, with a sample standard deviation of 0.52%. To determine if the mean weekly return is significantly greater than zero, a hypothesis test is conducted at a 5% significance level. With the test statistic calculated as 2.84, which of the following conclusions is correct?
A
The critical value of the test is 1.96; the manager should reject the null hypothesis and conclude that the mean return is significantly greater than zero.
B
The critical value of the test is 1.65; the manager should reject the null hypothesis and conclude that the mean return is significantly greater than zero.
C
The critical value of the test is 1.96; the manager should not reject the null hypothesis and therefore cannot conclude that the mean return is not significantly greater than zero.
D
The critical value of the test is 1.65; the manager should not reject the null hypothesis and therefore cannot conclude that the mean return is not significantly greater than zero.