Given the historical daily returns provided in Table 1, what is the one-day ahead conservative 20% VaR using Historical Simulation approach? Table1. Historical daily returns
Given the historical daily returns provided in Table 1, what is the one-day ahead conservative 20% VaR using Historical Simulation approach? Table1. Historical daily returns Time Return 0.008541 0.257765 -1.13336 0.137776 -0.6838 -0.47491 -0.27996 -0.00393 7.595298 -1.48926 0.104932 0.372224
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Authors: William O. Cleverley, James O. Cleverley, Paula H. Song
7th Edition
0763789291, 978-0763789299
