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Historical VaR Rational Investment, is estimating VaR using the historical simulation method at the 97% confidence level, for its fixed income portfolio currently valued at
Historical VaR Rational Investment, is estimating VaR using the historical simulation method at the 97% confidence level, for its fixed income portfolio currently valued at $700. Using daily returns for the last 260 days (ordered in decreasing order), the largest negative daily returns are the following: [-1.98,-1.97, -1.95, -1.92,-1.90,-1.89, -1.83,-1.81,-1.77, -1.73] What is your estimate of the daily dollar Var? $ Number million Round your answer to two decimal places. Ignore the negative sign b. What is your estimate of the daily dollar expected shortfall? $ Number million Round your answer to two decimal places. Ignore the negative sign
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