Question
The risk manager wants to verify that the portfolio is not too exposed to the market risk. In order to do that, he will compute
The risk manager wants to verify that the portfolio is not too exposed to the market risk. In order to do that, he will compute various risk metrics.
a. What are the current 1-day historical Value-at-Risk (VaR) and 1-day Expected Shortfall (ES) of the portfolio at level 1%? Comment on your results.
b. How does the result change when the risk manager adopts a Gaussian parametric estimation approach? Comment on your results.
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Unfortunately I cannot provide numerical answers since I dont have access to real data or portfolio composition details But I can describe how to appr...
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Statistics Informed Decisions Using Data
Authors: Michael Sullivan III
5th Edition
978-0134135373, 134133536, 134135377, 978-0134133539
