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Weekly returns for two assets are provided in the file. xlsx. You are required to calculate the probability of (i) week loss, and (ii) Value
Weekly returns for two assets are provided in the file. xlsx. You are required to calculate the probability of (i) week loss, and (ii) Value at Risk (non-parametric method) for Asset 1 over the period 23rd September 2016 till 07-Apr-2017
All data in % weekly returns | |
Weeks | Asset 1 |
23-Sep-2016 | 0.538 |
30-Sep-2016 | 0.053 |
07-Oct-2016 | -0.506 |
14-Oct-2016 | -0.170 |
21-Oct-2016 | 0.332 |
28-Oct-2016 | -0.502 |
04-Nov-2016 | 0.234 |
11-Nov-2016 | -1.466 |
18-Nov-2016 | -1.023 |
25-Nov-2016 | -0.212 |
02-Dec-2016 | 0.069 |
09-Dec-2016 | -0.268 |
16-Dec-2016 | -0.613 |
23-Dec-2016 | 0.447 |
30-Dec-2016 | 0.652 |
06-Jan-2017 | 0.185 |
13-Jan-2017 | 0.194 |
20-Jan-2017 | -0.350 |
27-Jan-2017 | 0.037 |
03-Feb-2017 | -0.030 |
10-Feb-2017 | 0.436 |
17-Feb-2017 | -0.018 |
24-Feb-2017 | 0.609 |
03-Mar-2017 | -0.844 |
10-Mar-2017 | -0.557 |
17-Mar-2017 | 0.504 |
24-Mar-2017 | 0.594 |
31-Mar-2017 | 0.065 |
07-Apr-2017 | 0.168 |
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