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The one-day 99% VaR is calculated in Section 13.1 as $253,385. Look at the underlying spreadsheets on the authors website and calculate (a) the 95%
The one-day 99% VaR is calculated in Section 13.1 as $253,385. Look at the underlying spreadsheets on the authors website and calculate (a) the 95% one-day VaR, (b) the 95% one-day ES, (c) the 97% one-day VaR, and (d) the 97% one-day ES.
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The Routledge Handbook Of FinTech
Authors: K. Thomas Liaw
1st Edition
0367263599, 978-0367263591
