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
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 formal 1% VaR using Weighted Historical Simulation with the weigting parameter =0.95 Table 1 Time Return 23 -0.022 390 -0.0212 245 -0.0208 481 -0.0193 450 -0.0176 65 -0.0168 390 -0.0161 116 -0.0151 30 -0.0146 32 -0.0145
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