risk analysis

Question 3 ISEQ Index 0.010 0.040 0.020 0.000 -0.020 -0.00 0.00 AAT 1 2 4 5 6 7 9 10 11 13 14 15 Observation 2 3 5 7 6 . 10 11 12 13 14 15 16 17 TB 19 20 ISFO 0.022 0.007 2015 0.019 0.008 0.011 0.013 0001 0.004 0,002 0.022 0.000 0.020 -0.040 0.046 0027 -0.020 -0.030 0043 0.017 Required The information provided represents weekly returns on the ISEQ index. Assuming normality in the distribution of returns, for an investment of 10,000,000 please estimate the following: (a) Estimate the Daily (1-day) and Monthly (20-day) VaR at the 5% confidence level. 10 Marks (b) What is the worst outcome from an investor's perspective (how much could they lose) and what is the probability of it occurring. 4 Marks (e) Estimate the CVaR at the 5% level 6 Marks Total 20 Marks Question 3 ISEQ Index 0.010 0.040 0.020 0.000 -0.020 -0.00 0.00 AAT 1 2 4 5 6 7 9 10 11 13 14 15 Observation 2 3 5 7 6 . 10 11 12 13 14 15 16 17 TB 19 20 ISFO 0.022 0.007 2015 0.019 0.008 0.011 0.013 0001 0.004 0,002 0.022 0.000 0.020 -0.040 0.046 0027 -0.020 -0.030 0043 0.017 Required The information provided represents weekly returns on the ISEQ index. Assuming normality in the distribution of returns, for an investment of 10,000,000 please estimate the following: (a) Estimate the Daily (1-day) and Monthly (20-day) VaR at the 5% confidence level. 10 Marks (b) What is the worst outcome from an investor's perspective (how much could they lose) and what is the probability of it occurring. 4 Marks (e) Estimate the CVaR at the 5% level 6 Marks Total 20 Marks