Question
You have the last 500 days of returns for the USD ($) price of the Euro () and British Pound (). Your client wants to
You have the last 500 days of returns for the USD ($) price of the Euro () and British Pound (). Your client wants to purchase 1 million Euro for $1.18M, and 0.5 million Pounds for $0.65M. Explain as briefly as possible, how you would estimate the 1-day VaR0.99 for his portfolio using the weighted historical approach with =0.95. Be clear about how you will chose this cut-off value.
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Foundations Of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen, Doug Short, Michael Perretta
11th Canadian Edition
1259024970, 978-1259265921
