20.30. Suppose that the portfolio considered in Section 20.2 has (in $000s) 3,000 in DJIA, 3,000 in...
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20.30. Suppose that the portfolio considered in Section 20.2 has (in $000s) 3,000 in DJIA, 3,000 in FTSE, 1,000 in CAC 40 and 3,000 in Nikkei 225. Use the spreadsheet on the author’s website to calculate what difference this makes to the one-day 99% VaR and ES that is calculated in Section 20.2.
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Somshukla Chakraborty
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