You are asked to calculate the one-day 95% VaR for a portfolio using the historical method, with
Question:
You are asked to calculate the one-day 95% VaR for a portfolio using the historical method, with a window of 256 days. The table below contains the 20 worst backcast returns for the portfolio along with the time at which the returns occurred, t = 0, 1, 2, …, 255. The most recent date is t = 0, and the oldest is t = 255.
Transcribed Image Text:
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 t 42 83 10 23 3 58 188 103 131 12 116 245 150 56 61 31 69 95 161 35 R -35% -29% -26% -25% -24% -21% -20% -19% -18% -16% -16% -16% -15% -14% -14% -13% -13% -13% -13% -12%
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Five percent of 256 is 128 so the 95 VaR is ...View the full answer
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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