2. Assume a portfolio that consists of a short position of one in each of the option...

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2. Assume a portfolio that consists of a short position of one in each of the option contracts.

Calculate the 10-day, 1% dollar VaRs using the delta-based and the gamma-based models.

Assume a normal distribution with the variance as in exercise 1. Use MC D 5;000 simulated returns for the 10-trading-day return. Compare the simulated quadratic VaR with the one using the Cornish-Fisher expansion formula.

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Elements Of Financial Risk Management

ISBN: 9780128102350

2nd Edition

Authors: Peter Christoffersen

Question Posted: Oct 19, 2024 12:00 PM

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2. Assume a portfolio that consists of a short position of one in each of the option...

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Elements Of Financial Risk Management

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