Question
Gregory Chambers is interested in estimating the daily VAR (with 95% probability) of bank's fixed income portfolio, currently valued at $30 million. The portfolio has
Gregory Chambers is interested in estimating the daily VAR (with 95% probability) of bank's fixed income portfolio, currently valued at $30 million. The portfolio has the following returns over the past 100 days (ranked from high to low).
1.9%, 1.87%, 1.85%, 1.79%......-1.78%, -1.81%, -1.84%, -1.87%, -1.91%
What will be the VAR estimate using the historical method?
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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
