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2. Consider the following table for various scenarios and their values for VAR calculation: (4 Marks) Scenario 494 Loss ('000s) 477.841 345.435 282.204 277.041 253.385
2. Consider the following table for various scenarios and their values for VAR calculation: (4 Marks) Scenario 494 Loss ('000s) 477.841 345.435 282.204 277.041 253.385 217.974 202.256 131 Calculate a. 20 days VAR with 95% confidence level and equal weights. b. Expected shortfall for 20 days VAR with 95% confidence level and equal weights
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