Question
Steve Harrington, FRM is in charge of market risk management for UpsideDown Capital, a hedge fund based in Chicago. He uses the historical simulation method
Steve Harrington, FRM is in charge of market risk management for UpsideDown Capital, a hedge fund based in Chicago. He uses the historical simulation method to generate 1,000 scenarios based on 1,000 days of closing values for one of the funds trading books. He determines that the 99th percentile VaR for the trading book is $8mm. The nine losses that exceed the VaR are $9mm, $12mm, $13mm, $18mm, $25mm, $36mm, $41mm, $54mm, and $72mm. What is the Expected Shortfall of the trading book?
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Personal Finance And Investments
Authors: Keith Redhead
1st Edition
0415428629, 978-0415428620
