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 $$10$ million portfolio in Table $12\mathrm{.}1$ on July $8,2020.$ Suppose that the $250$ days ending April $30,2020,$ constitute the stressed period for the portfolio. Calculate the $97\mathrm{.}5\%$ expected shortfall using the overlapping periods method in conjunction with historical simulation and the cascade approach. Relevant data on the indices is on the author$$s website $($see $$Worksheets for Value at Risk Example$).$ For the purposes of this problem, assume that 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. Table $12\mathrm{.}1$ Investment Portfolio Used for VaR

Calculations July $8,2020$