Spreadsheet Assignment

Values for the S&P/ TSX composite index between October 31, 2018 and November 1, 2020 can be obtained in trading room. Calculate the 1-day 99% VaR on November 2, 2020, for a $10 million portfolio invested in the index using (a) the basic historical simulation approach, (b) the exponential weighting scheme with =0.997. Discuss the reasons for the differences between the results you get. (c) the extreme value theory where u is set to equal to the 95th percentile of the empirical distribution of the TSX index. (d) Conduct back testing by using the data of the S&P/TSX composite index between October 31, 2017 and October 30, 2018.