Question
Suppose that an investor owns the $10 million portfolio in Table 12.1 on July 8, 2020. Suppose that the 250 days ending April 30, 2020,
Suppose that an investor owns the $10 million portfolio in Table 12.1 on July 8, 2020. Suppose that the 250 days ending April 30, 2020, constitute the stressed period for the portfolio. Calculate the 97.5% expected shortfall using the over lapping periods method in conjunction with historical simulation and the cascade approach. Relevant data on the indices is on the authors website (see Worksheets for Value at Risk Example). For the purposes of this problem, assume that S&P 500 and FTSE have a 10-day liquidity horizon, CAC 40 has a 40-day liquidity horizon, and Nikkei 225 has a 20-day liquidity horizon. For each day during the stressed period, consider the change in a variable over a 10-day period ending on the day
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