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example: consider a portfolio with 100 return observations in $ million, the worst ten are -1, -3, -2, -7, -6, -11, -4, -2, -9.-10. What
example: consider a portfolio with 100 return observations in $ million, the worst ten are -1, -3, -2, -7, -6, -11, -4, -2, -9.-10. What is the VaR at 97% and corresponding ES. a. -6 VaR, -8.6 ES O b.-9 VaR, -10 ES O c.-10 VAR, -11 ES O d.-1 VAR, -2.2 ES
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Finance At Work
Authors: Valérie Boussard
1st Edition
113820403X, 978-1138204034
