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4. The table below contains 301 observations with sorted returns and a position of TL50,000. Assume the returns are normally distributed and have a monthly
4. The table below contains 301 observations with sorted returns and a position of TL50,000. Assume the returns are normally distributed and have a monthly mean of 0.0024 and a variance of 0.0036. a) (17 pts) What is the one-day TL VaR at 99% approximately using the analytical method? 3 b) (17 pts) What is the expected shortfall in TL when historical simulation is used at 95% confidence level? Day Date Sorted returns Day Date 0 289 290 1 291 2 3 4 Jan 2 Jan 3 Jan 4 Jan 5 Jan 6 Jan 9 : March 9 March 10 March 11 March 14 March 15 5 0.066 0.065 0.063 0.062 0.061 : -0.006 -0.007 -0.008 -0.011 -0.012 Sorted returns -0.014 -0.015 -0.017 -0.019 -0.020 -0.021 -0.022 -0.024 -0.025 -0.027 -0.029 -0.090 March 16 March 17 March 18 March 21 March 22 March 23 March 24 March 25 March 28 March 29 March 30 March 31 292 293 294 295 296 297 298 299 300 284 285 286 287 288
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