3. For the 1% and 5% value at risk, calculate the indicator hit sequence for both RiskMetrics...

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3. For the 1% and 5% value at risk, calculate the indicator “hit” sequence for both RiskMetrics and Historical Simulation models. The hit sequence takes on the value 1 if the return is below the (negative of the) VaR and 0 otherwise.

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Elements Of Financial Risk Management

ISBN: 9780128102350

2nd Edition

Authors: Peter Christoffersen

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Question Posted: Oct 19, 2024 12:00 PM

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3. For the 1% and 5% value at risk, calculate the indicator hit sequence for both RiskMetrics...

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Elements Of Financial Risk Management

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