Calculate the 97.5% expected shortfall using the overlapping periods method in conjunction with historical simulation and...
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Calculate the 97.5% expected shortfall using the overlapping periods method in conjunction with historical simulation and the cascade approach. Relevant data on the indices is on the author's website (see "Worksheets for Value at Risk Example"). For the purposes of this problem, assume that the S&P 500 and FTSE have a 10-day liquidity horizon, CAC 40 has a 40-day liquidity horizon, and Nikkei 225 has a 20-day liquidity horizon. For each day during the stressed period, consider the change in a variable over a 10-day period ending on the day. Calculate the 97.5% expected shortfall using the overlapping periods method in conjunction with historical simulation and the cascade approach. Relevant data on the indices is on the author's website (see "Worksheets for Value at Risk Example"). For the purposes of this problem, assume that the S&P 500 and FTSE have a 10-day liquidity horizon, CAC 40 has a 40-day liquidity horizon, and Nikkei 225 has a 20-day liquidity horizon. For each day during the stressed period, consider the change in a variable over a 10-day period ending on the day.
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