20.19. The one-day 99% VaR is calculated for the four-index example in Section 20.2 as $253,385. Look
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20.19. The one-day 99% VaR is calculated for the four-index example in Section 20.2 as $253,385.
Look at the underlying spreadsheets on the author’s website and calculate:
(a) the oneday 95% VaR,
(b) the one-day 95% ES,
(c) the one-day 97% VaR, and
(d) the one-day 97% ES.
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Somshukla Chakraborty
I have a teaching experience of more than 4 years by now in diverse subjects like History,Geography,Political Science,Sociology,Business Enterprise,Economics,Environmental Management etc.I teach students from classes 9-12 and undergraduate students.I boards I handle are IB,IGCSE, state boards,ICSE, CBSE.I am passionate about teaching.Full satisfaction of the students is my main goal.
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