Calculation and discussion of the five-day 1%-Value at Risk (99% confidence level) of your portfolio using model-
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Calculation and discussion of the five-day 1%-Value at Risk (99% confidence level) of your portfolio using model- building approach. Show key steps of workings. (3 marks) Calculation and discussion of the five-day 1%-Value at Risk (99% confidence level) of your portfolio using a historical simulation approach. (3 marks)
Date | Sorted return |
2/10/2017 | -9.69% |
3/10/2017 | -9.04% |
4/10/2017 | -8.91% |
5/10/2017 | -8.01% |
6/10/2017 | -7.52% |
9/10/2017 | -7.40% |
10/10/2017 | -7.26% |
11/10/2017 | -6.93% |
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International Marketing And Export Management
ISBN: 9781292016924
8th Edition
Authors: Gerald Albaum , Alexander Josiassen , Edwin Duerr
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