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please answer question using excel sheet and provide formulas and work done for question 1, ty A passive long only Equity portfolio Manager with asset
please answer question using excel sheet and provide formulas and work done for question 1, ty
A passive long only Equity portfolio Manager with asset under management (AUM) of $1.5 Billion has the following investments: Table 1: Passive Portfolio Position The Manager is interested in knowing: a) VaR at 99% b) Var at 99.5% c) ES at 99% d) ES at 99.5% The manager asks the risk analyst 1 to construct the following scenarios: 1) Using the past five years of data compute the VAR and ES at 99% and 99.5% using historical simulation method? A passive long only Equity portfolio Manager with asset under management (AUM) of $1.5 Billion has the following investments: Table 1: Passive Portfolio Position The Manager is interested in knowing: a) VaR at 99% b) Var at 99.5% c) ES at 99% d) ES at 99.5% The manager asks the risk analyst 1 to construct the following scenarios: 1) Using the past five years of data compute the VAR and ES at 99% and 99.5% using historical simulation methodStep by Step Solution
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