Given the following data on your actual cumulative distribution of daily returns, versus normal: Actual Normal...
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Given the following data on your actual cumulative distribution of daily returns, versus normal: Actual Normal Cumulative Cumulative Return Distribution Distribution (0.0460) (0.0404) (0.0348) (0.0291) (0.0235) (0.0179) (0.0123) (0.0067) (0.0010) 0.0046 0.0102 0.0158 0.0214 0.0271 0.0327 0.0330 0.40% 1.00% 1.20% 1.60% 3.20% 3.20% 8.40% 18.80% 42.00% 65.80% 80.00% 92.40% 96.80% 99.20% 99.30% 100.00% 0% 0% 0% 0% 1% 4% 12% 26% 46% 67% 84% 94% 98% 100% 100% 100% Given the additional information that the expected return is zero and the current value of the position is $10 million, calculate VaR at 99%, using the nonparametric method. Given the following data on your actual cumulative distribution of daily returns, versus normal: Actual Normal Cumulative Cumulative Return Distribution Distribution (0.0460) (0.0404) (0.0348) (0.0291) (0.0235) (0.0179) (0.0123) (0.0067) (0.0010) 0.0046 0.0102 0.0158 0.0214 0.0271 0.0327 0.0330 0.40% 1.00% 1.20% 1.60% 3.20% 3.20% 8.40% 18.80% 42.00% 65.80% 80.00% 92.40% 96.80% 99.20% 99.30% 100.00% 0% 0% 0% 0% 1% 4% 12% 26% 46% 67% 84% 94% 98% 100% 100% 100% Given the additional information that the expected return is zero and the current value of the position is $10 million, calculate VaR at 99%, using the nonparametric method.
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Related Book For
Operations Management Managing Global Supply Chains
ISBN: 978-1506302935
1st edition
Authors: Ray R. Venkataraman, Jeffrey K. Pinto
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