Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Jun 06, 2024

Part I : Using the past two years daily data, calculate the 1-day 99% VaR on November 2, 2020 for a one million dollars portfolio

Part I: Using the past two years daily data, calculate the 1-day 99% VaR on November 2, 2020 for a one million dollars portfolio with 100% invested in TSX Composite Index, according to the following:

(1)the basic historical simulation approach

(2)the exponential weighting scheme with =0.995

(3)extreme value theory

You will only need to complete #3.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

Step: 3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Financial Markets and Institutions

Authors: Frederic S. Mishkin, Stanley G. Eakins

5th edition

321280299, 321280296, 978-0321280299

More Books

Students also viewed these Finance questions

Question

★★★★★

During 2014, Victorias Fashion had beginning inventory of $480,000, ending inventory of $560,000, and cost of goods sold of $2,200,000. Compute the inventory turnover and days inventory on hand....

Answered: 1 week ago

Question

★★★★★

Working individually or in groups, develop a short, pro- grammed learning program on the subject "Guidelines for Giving a More Effective Lecture."? LO1

Answered: 1 week ago

Question

★★★★★

The density function of a random variable X is f (x) = a + bx2, 0 x 1. If we know that E(X) = 35, what are the values of a and b?

Answered: 1 week ago

Question

★★★★★

Describe the five dimensions of service quality for a dentists office, how performance in these dimensions might be measured and how recoveries might be handled for failures in each of the service...

Answered: 1 week ago

Question

★★★★★

gross profit / sales W Report Headings 1. Name of Company and Ticker Symbol: Company name, ticker symbol 2. 10-K Report: Paste the direct URL to the company's most recent 10-K Report 3. Company...

Answered: 1 week ago

Question

★★★★★

1. If you were Ethney, how would you try to conduct yourself at the oil company? Would you act differently from your normal personality? Do you think your approach would be successful? Why? 2. What...

Answered: 1 week ago

Question

★★★★★

The system under which the government sets an average length of hospital stay and costs for in-patient treatment for each possible diagnosis is known as Question 12 options: a) retrospective payment....

Answered: 1 week ago

Question

★★★★★

The company controller has set the revenue target for 2023 at $10,193,100 (or 55,700 pairs). He believes an additional marketin cost of $449,000 for advertising in 2023, with all other costs...

Answered: 1 week ago

Question

★★★★★

North American culture places a great deal of emphasis on a woman's weight in its appraisal of whether she is considered physically attractive. Some other cultures have a clear preference for more...

Answered: 1 week ago

Question

★★★★★

describe how the words we use to discuss personality disorders,( eg., narcissistic, borderline, antisocial,) shape our perception of what is considered normal or abnormal. Provide an example within...

Answered: 1 week ago

Question

★★★★★

Jason has a cat phobia, and therefore feelsanxious whenever he hears the word cat.He also feels anxious when he hears the word feline,which is an example of ____ generalization. a. secondary b....

Answered: 1 week ago

Question

★★★★★

Please answer each MCQ and give a small explanation (1-2 senetnces): This theory argues that progress and change in science are attributable to the ideas of unique individuals? A) Naturalistic...

Answered: 1 week ago

Question

★★★★★

The management of Penfold Corporation is considering the purchase of a machine that would cost $380,000, would last for 5 years, and would have no salvage value. The machine would reduce labor and...

Answered: 1 week ago

Question

★★★★★

Intermediate: Contribution analysis and an outsourcing decision AZ Transport Group pic comprises three divisions - AZ Buses; AZ Taxis; and Maintenance. AZ Buses operates a fleet of eight vehicles on...

Answered: 1 week ago

Question

★★★★★

Intermediate: Limiting factor analysis Triproduct Limited makes and sells three types of electronic security systems for which the following information is available. Standard cost and selling prices...

Answered: 1 week ago

Question

★★★★★

Intermediate: Limiting key factors PDR pic manufactures four products using the same machinery. The following details relate to its products: There is a maximum of 2000 machine hours available per...

Answered: 1 week ago

Previous Question Next Question