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11 * BWI T Normal 1 No Spac... Heading 1 Heading 2 Title Su S 4 Paragraph Styles 5 Ya 23 5. You are managing

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11 * BWI T Normal 1 No Spac... Heading 1 Heading 2 Title Su S 4 Paragraph Styles 5 Ya 23 5. You are managing a $100 million portfolio that has 60% invested in SPY and 40% invested in LQD. a. Use the attached data to compute the l-day 99% VaR and ES for this portfolio using the historical method (you may compute YaR and ES in both returns (%) and dollars) b. Compute the 1-day 99% ya using the analytical method assuming returns of the portfolio are normally distributed, and mean is zero, Compute the 1-week and 1. month 99% VaR assuming there are 5 business days in a week and 21 business C LOD 6 15 1 Date SPY 2 2017-12-11 0.02% 3 2018-12-12 0.50 4 2018-12-13 0.03 5 2013-12-14 -1.85N 2018-12-17 -1.901 7 2015-12-16 -0.11% 2017-12-10 -1.50% 2018-12-20 -1.63N TO 2018-12-21 -2.OSN 11 2018-12-24 -2.64% 12 2018-12-26 S.OSN 13 2013-12-27 0.7796 14 2018-12-20 -0.13 15 2013-12-31 0.BAN 16 2010-01-02 0.101 17 2019-01-03 18 2019.01-04 19 2019-01-07 0.79% 20 2010 01.on 0.94% 21 2019-01 ON 0.47 22 2010-01-10 O. 0.0 24 2019-01-14 -0.51 25 2019-01-15 1.15 26 2018-01-10 0241 27 2019-01-17 OTO 20 2019-01-18 1.33 days in a month. 29 2018-01-22 0.1816 0.1176 0.27% -0.1116 0.11% 0.36 -0.006 -0.33 0.10% 0.239 -0.08 C.OON 0.66 0.28% 0.31N 0.04 -0.06% 0.01 0.22 0,388 -1.269 O.IN -301 3. 0.26% 0.00 0 19 0.2016 OLAN 0.17 O hp 11 * BWI T Normal 1 No Spac... Heading 1 Heading 2 Title Su S 4 Paragraph Styles 5 Ya 23 5. You are managing a $100 million portfolio that has 60% invested in SPY and 40% invested in LQD. a. Use the attached data to compute the l-day 99% VaR and ES for this portfolio using the historical method (you may compute YaR and ES in both returns (%) and dollars) b. Compute the 1-day 99% ya using the analytical method assuming returns of the portfolio are normally distributed, and mean is zero, Compute the 1-week and 1. month 99% VaR assuming there are 5 business days in a week and 21 business C LOD 6 15 1 Date SPY 2 2017-12-11 0.02% 3 2018-12-12 0.50 4 2018-12-13 0.03 5 2013-12-14 -1.85N 2018-12-17 -1.901 7 2015-12-16 -0.11% 2017-12-10 -1.50% 2018-12-20 -1.63N TO 2018-12-21 -2.OSN 11 2018-12-24 -2.64% 12 2018-12-26 S.OSN 13 2013-12-27 0.7796 14 2018-12-20 -0.13 15 2013-12-31 0.BAN 16 2010-01-02 0.101 17 2019-01-03 18 2019.01-04 19 2019-01-07 0.79% 20 2010 01.on 0.94% 21 2019-01 ON 0.47 22 2010-01-10 O. 0.0 24 2019-01-14 -0.51 25 2019-01-15 1.15 26 2018-01-10 0241 27 2019-01-17 OTO 20 2019-01-18 1.33 days in a month. 29 2018-01-22 0.1816 0.1176 0.27% -0.1116 0.11% 0.36 -0.006 -0.33 0.10% 0.239 -0.08 C.OON 0.66 0.28% 0.31N 0.04 -0.06% 0.01 0.22 0,388 -1.269 O.IN -301 3. 0.26% 0.00 0 19 0.2016 OLAN 0.17 O hp

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