You are tasked with finding 1% Value at Risk based on about two years of historical returns
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Question:
You are tasked with finding 1% Value at Risk based on about two years of historical returns (500 daily observations) using Weighted Historical Simulation. Ten smallest returns over this period are presented in Table 1, along with the time index of the day of observation (1 being the earliest observation and 500 being today's observation). Please report the conservative 1% VaR using Weighted Historical Simulation with the weigting parameter =0.94 Table 1 Time Return 23 -0.0220 478 -0.0212 320 -0.0208 492 -0.0193 481 -0.0176 65 -0.0168 390 -0.0161 116 -0.0151 30 -0.0146 32 -0.0145
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