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Historical VaR Rational Investment, is estimating VaR using the historical simulation method at the 9 8 % confidence level, for its fixed income portfolio currently
Historical VaR
Rational Investment, is estimating VaR using the historical simulation method at the confidence level, for its fixed income portfolio currently valued at $ Using daily returns for the last days ordered in decreasing order the largest negative daily returns are the following:
a What is your estimate of the daily dollar VaR?
$ million
Round your answer to two decimal places. Ignore the negative sign
b What is your estimate of the daily dollar expected shortfall?
$ million
Round your answer to two decimal places. Ignore the negative sign.
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