Suppose that the portfolio considered in Section 14.1 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

(a) The one-day 99% VaR that is calculated in Section 14.1.

(b) The one-day 99% VaR that is calculated using the weighting-ofobservations procedure in Section 14.3.

(c) The one-day 99% VaR that is calculated using the volatility-updating procedure in Section 14.3.

(d) The one-day 99% VaR that is calculated using extreme value theory in Section 14.6.

AppendixLO1