Question
BNP Paribas Bank aims to hire a new intern for its investment department. During his interview, Ali was asked the following question: A fixed income
BNP Paribas Bank aims to hire a new intern for its investment department. During his interview, Ali was asked the following question:
A fixed income portfolio valued at €800 million had the below lowest extreme daily returns over the last 400 days:
1.99% -1.91% 1.89% 1.87% 1.88% -1.82% -1.87
-1.76 -1.84
A. What is your estimate of the daily dollar 99% VaR using the historic simulation method?
B. What is the Expected Shortfall?
Step by Step Solution
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There are 3 Steps involved in it
Step: 1
A In order to calculate the VaR we need to first calculate the standard deviation of the returns Thi...
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Step: 2
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Statistics For Management And Economics Abbreviated
Authors: Gerald Keller
10th Edition
978-1-305-0821, 1285869648, 1-305-08219-2, 978-1285869643
