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Can you explain in very detailed step by step, showcasing how you got each number as I am very confused. Suppose that an investor owns
Can you explain in very detailed step by step, showcasing how you got each number as I am very confused. Suppose that an investor owns the $ million portfolio in Table on July Suppose that the days ending April constitute the stressed period for the portfolio. Calculate the expected shortfall using the overlapping periods method in conjunction with historical simulation and the cascade approach. Relevant data on the indices is on the authors website see Worksheets for Value at Risk Example For the purposes of this problem, assume that S&P and FTSE have a day liquidity horizon, CAC has a day liquidity horizon, and Nikkei has a day liquidity horizon. For each day during the stressed period, consider the change in a variable over a day period ending on the day. Table Investment Portfolio Used for VaR
Calculations July
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