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5. You are managing a $100 million portfolio. You compute profits and losses for the past 100 trading days and sort this data from the
5. You are managing a $100 million portfolio. You compute profits and losses for the past 100 trading days and sort this data from the largest loss to the largest gain. A screenshot of this data looks in the following: Ranking Day Loss 99 $(4,756,848.43) 50 $(4,741,339.95) 59 $(3,831,193.75) 34 $ (3,039,811.24) 65 $ (3,004,795.54) 11 $(2,953,123.26) 83 $(2,792,132.94) 35 $ (2,499,147.60) 55 $(2,327,150.46) 95 $(2,179,160.30) 13 $(1,998,280.26) 22 $(1,953,083.32) 40 $(1,839,857.66) 58 $(1,793,523.55) 9 $(1,752,438.02) GEBED VOWN Using the historical method, estimate the 1-day, 1-week, and 1-month 95% confidence level VaR and ES for this portfolio. 5. You are managing a $100 million portfolio. You compute profits and losses for the past 100 trading days and sort this data from the largest loss to the largest gain. A screenshot of this data looks in the following: Ranking Day Loss 99 $(4,756,848.43) 50 $(4,741,339.95) 59 $(3,831,193.75) 34 $ (3,039,811.24) 65 $ (3,004,795.54) 11 $(2,953,123.26) 83 $(2,792,132.94) 35 $ (2,499,147.60) 55 $(2,327,150.46) 95 $(2,179,160.30) 13 $(1,998,280.26) 22 $(1,953,083.32) 40 $(1,839,857.66) 58 $(1,793,523.55) 9 $(1,752,438.02) GEBED VOWN Using the historical method, estimate the 1-day, 1-week, and 1-month 95% confidence level VaR and ES for this portfolio
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