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Posted on Aug 07, 2024

Zoom in (Ctrl-Plus) 2.5.e You are holding a portfolio of securities. The market value changed over the last 200 trading days as shown in the

Zoom in (Ctrl-Plus) 2.5.e You are holding a portfolio of securities. The market value changed over the last 200 trading days as shown in the appendix. What is the daily VaR with a confidence level of 98% using the historic method ? Searc 9059 GO E3 G A C Ca Co or Co Rec Convert e forms D X G 0 D day 10. 1 E 4 S . 7 . 6 10 11 12 11 14 st 34 it 10 it st 21 RRASAANANES 34 M 21 27 portallo valve 10.0980 1005052 1002965 10.006,91 100538 30050,00 1902.01 1002701 1000 100004 1004 100574 1007172 1014422 1007,0 1025 www 100212 10000 14.07.2 30 ww YHTE G MATHEM 10000 BARL 10011 10047 19 100 WIRD HIP J 8.04 20,87 12,74 18,47 23.68 47.00 3406 22.1 21,36 11,00 11.00 -11.00 22.30 21,34 48.37 16.17 12.04 1000 27:30 SUB 443 301- ** LAT DN 28 anat ALM 110 that day 67 19 (9 70 11 12 EL 74 n 76 77 79 79 NO 18 13 SN M 18 W N PE DE HE 94 H O 10129,49 30.138,17 1009903 10.112.12 100004 10.101,43 2009944 10.1111 10.162.44 portalu dally change 4625 8,68 -31.34 11,09 12,08 2.19 2.99 12.30 2012 30174,4 I 3430 En HAL M w 10 BIND 30200 THE WATE star 2018 20 201,0 MAIR BIKE hist 15 WHIT 119% HEINR 2010 ww ka 12:22 M ILM www tri 126 ** AN 612 SUS 24 (15 MAT DHE HIE 1196 FERE bot the 18 ja 134 135 900 137 111 139 140 141 142 14 34 16 IM 147 14 in IN DET B 154 161 156 25T SEBENER2 140 THE # la D portfolio 10.086.64 10067,05 1007140 1007100 1004090 1005424 2012 000456 10:00939 THO 100159 1000024 30 100 101420 103421 30130 10111 WHEN MIND 125 2015 KUIR MIND www. STORE MAR m WHEN 1024 istor MIRA daly change 1551 041 15.65 437 113 1134 412 2M 0.31 500 18:30 1411 WZ 1447 ww 1.02 2000 11,41 (14) ILM EN 1130 tity 3.09 an 14 WITT 2538 KA O C tec Tellw, sonnig Search Draw PoExport F Edit PDF Po Create P Commer Combine 20 Organize Compress Redact Convert edit and a forms & agree 2002 VE SE % 37 38 GE OF 41 2V B 44 45 46 47 17 G 50 15 ts 15 15 55 FREDAC**** W 25 W TH 1901937 3.987,11 10.033.41 10.077,31 10.077,89 10.074,07 10.064,77 10.094,69 10.013,30 9.980, 48 $.999,90 10.027, 10:004,24 10.006.07 10.025 72 1000 100425 10.000.00 10.0429 20022,46 1001394 100002 10:0251 100484 20.045.12 n 1500 1004804 00 VOT 10071 100054 10.03. 10053 -12,33 9/62- 46,30 43,90 0,58 OVE- -9.30 80'DE 21,59 29/2E- 19,49 27,92 WY. 1.83 3.85 -1.36 14,15 NT 2.30 12:00 4.72 16.M 4.30 me 168 207 GEN: ww 19:29 10:30 w 40.02 MELK O E 101 102 BOT 104 105 106 307 100 109 OTT 111 112 111 114 115 226 at A28495053587 10148,88 1998 10.185,16 10,225,61 10.222.82 10.199,41 10.1809 10.164.97 10.174.13 30.198.21 30.162.14 SOTO O 10123,73 2922 10121 30 122.3 3007423 1000 2005 10037,34 extmo 300527 1030 WOLN 5800 ZATO W TEAD OF 100% 2004 300 1145 37,79 -4,51 4045 -2,79 -21,41 2533- -15,90 916 24,08 -16.07 1% 13 301 26T 143 0.45 -4610 ILM -17.09 ILM THE *** AST 395 243 TOT 4312 MT: ww 120 200 ATH ASSSSSSSSSSRRA G 170 173 124 175 1% 177 IN 1.79 180 THE 112 181 011 IN INT MI MIT set WI WAT 3152,16 101558 10.131,50 10161, 10.17 05 CYSTOC 10:127,2 201712 10 12623 10.1394 10.167,19 1017430 1017LM 10 142,72 THEO 10114.59 werk 122,11 30082 M 30025 7101 101140 C ac 115 18204 10 233,50 WIRK ame an www 122- 201 OVEZ- ww 11,77 -19.29 25,34 430 4,41 D'IT 27,59 3,55 -100 AM 6 DS 0x1 2017 ww 41,00 800 428 www. DETH ww br UT 300 1114 160 Tellw. sonnig 9 1 46 47 48 49 50 51 52 53 54 95 1111182-2393 95 W 65 Type here to search 1024, 10.026,07 10.029,72 10.028,36 10.042,51 10.000,69 10.042,89 10.022,66 10.013.94 10.030,82 10.025.91 10.048,43 10.045,32 10055,25 10053,23 10.04804 10005,00 10.045.71 10.05.31 10.05. 2005 100124 3,65 1,83 1.66 -1,36 14,15 -1,82 2,20 -20.23 8,72 16,58 431 22.52 -1.11 9.93 -2.00 -5.19 16.M -19.29 -10.30 18,05 40.00 09855359 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 128 128 12 110 131 110 T 10.113.88 10.123,71 10.127,68 10.121.68 10.122.33 10.074,25 10.085.91 1006882 10.07.14 30031,63 30052,73 3006130 3006196 30.065.39 300030 3011647 WHERE 110111 3010 3004 2014.0 30102, 818 9.83 3.92 -5.95 065 -48,10 11,68 17,09 -3168 -5.51 21.10 8.57 WO 3,43 167 4:12 IN XW 127 2411 12 2149 179 180 381 182 183 134 186- 186 181 188 190 180 291 192 199 194 115 186 197 IN 141 230 10.175 34 30162,72 10.161,78 30134,50 1012041 10.122.31 100004 100725 10.11.2 30123,40 10111112 300647 10.30 10:10 10:15130 102100 30211.30 when arge 10.2017 30.325.00 10.344 725 3,40 40 4M 47,29 3,82 1.90 29.90 14.09 43,07 008 4,28 4171 at 43.3 ww 241 AN L 1005 TE 6 16C Teile sonnig H 2 FONE (A) ( Convert for Zoom in (Ctrl-Plus) 2.5.e You are holding a portfolio of securities. The market value changed over the last 200 trading days as shown in the appendix. What is the daily VaR with a confidence level of 98% using the historic method ? Searc 9059 GO E3 G A C Ca Co or Co Rec Convert e forms D X G 0 D day 10. 1 E 4 S . 7 . 6 10 11 12 11 14 st 34 it 10 it st 21 RRASAANANES 34 M 21 27 portallo valve 10.0980 1005052 1002965 10.006,91 100538 30050,00 1902.01 1002701 1000 100004 1004 100574 1007172 1014422 1007,0 1025 www 100212 10000 14.07.2 30 ww YHTE G MATHEM 10000 BARL 10011 10047 19 100 WIRD HIP J 8.04 20,87 12,74 18,47 23.68 47.00 3406 22.1 21,36 11,00 11.00 -11.00 22.30 21,34 48.37 16.17 12.04 1000 27:30 SUB 443 301- ** LAT DN 28 anat ALM 110 that day 67 19 (9 70 11 12 EL 74 n 76 77 79 79 NO 18 13 SN M 18 W N PE DE HE 94 H O 10129,49 30.138,17 1009903 10.112.12 100004 10.101,43 2009944 10.1111 10.162.44 portalu dally change 4625 8,68 -31.34 11,09 12,08 2.19 2.99 12.30 2012 30174,4 I 3430 En HAL M w 10 BIND 30200 THE WATE star 2018 20 201,0 MAIR BIKE hist 15 WHIT 119% HEINR 2010 ww ka 12:22 M ILM www tri 126 ** AN 612 SUS 24 (15 MAT DHE HIE 1196 FERE bot the 18 ja 134 135 900 137 111 139 140 141 142 14 34 16 IM 147 14 in IN DET B 154 161 156 25T SEBENER2 140 THE # la D portfolio 10.086.64 10067,05 1007140 1007100 1004090 1005424 2012 000456 10:00939 THO 100159 1000024 30 100 101420 103421 30130 10111 WHEN MIND 125 2015 KUIR MIND www. STORE MAR m WHEN 1024 istor MIRA daly change 1551 041 15.65 437 113 1134 412 2M 0.31 500 18:30 1411 WZ 1447 ww 1.02 2000 11,41 (14) ILM EN 1130 tity 3.09 an 14 WITT 2538 KA O C tec Tellw, sonnig Search Draw PoExport F Edit PDF Po Create P Commer Combine 20 Organize Compress Redact Convert edit and a forms & agree 2002 VE SE % 37 38 GE OF 41 2V B 44 45 46 47 17 G 50 15 ts 15 15 55 FREDAC**** W 25 W TH 1901937 3.987,11 10.033.41 10.077,31 10.077,89 10.074,07 10.064,77 10.094,69 10.013,30 9.980, 48 $.999,90 10.027, 10:004,24 10.006.07 10.025 72 1000 100425 10.000.00 10.0429 20022,46 1001394 100002 10:0251 100484 20.045.12 n 1500 1004804 00 VOT 10071 100054 10.03. 10053 -12,33 9/62- 46,30 43,90 0,58 OVE- -9.30 80'DE 21,59 29/2E- 19,49 27,92 WY. 1.83 3.85 -1.36 14,15 NT 2.30 12:00 4.72 16.M 4.30 me 168 207 GEN: ww 19:29 10:30 w 40.02 MELK O E 101 102 BOT 104 105 106 307 100 109 OTT 111 112 111 114 115 226 at A28495053587 10148,88 1998 10.185,16 10,225,61 10.222.82 10.199,41 10.1809 10.164.97 10.174.13 30.198.21 30.162.14 SOTO O 10123,73 2922 10121 30 122.3 3007423 1000 2005 10037,34 extmo 300527 1030 WOLN 5800 ZATO W TEAD OF 100% 2004 300 1145 37,79 -4,51 4045 -2,79 -21,41 2533- -15,90 916 24,08 -16.07 1% 13 301 26T 143 0.45 -4610 ILM -17.09 ILM THE *** AST 395 243 TOT 4312 MT: ww 120 200 ATH ASSSSSSSSSSRRA G 170 173 124 175 1% 177 IN 1.79 180 THE 112 181 011 IN INT MI MIT set WI WAT 3152,16 101558 10.131,50 10161, 10.17 05 CYSTOC 10:127,2 201712 10 12623 10.1394 10.167,19 1017430 1017LM 10 142,72 THEO 10114.59 werk 122,11 30082 M 30025 7101 101140 C ac 115 18204 10 233,50 WIRK ame an www 122- 201 OVEZ- ww 11,77 -19.29 25,34 430 4,41 D'IT 27,59 3,55 -100 AM 6 DS 0x1 2017 ww 41,00 800 428 www. DETH ww br UT 300 1114 160 Tellw. sonnig 9 1 46 47 48 49 50 51 52 53 54 95 1111182-2393 95 W 65 Type here to search 1024, 10.026,07 10.029,72 10.028,36 10.042,51 10.000,69 10.042,89 10.022,66 10.013.94 10.030,82 10.025.91 10.048,43 10.045,32 10055,25 10053,23 10.04804 10005,00 10.045.71 10.05.31 10.05. 2005 100124 3,65 1,83 1.66 -1,36 14,15 -1,82 2,20 -20.23 8,72 16,58 431 22.52 -1.11 9.93 -2.00 -5.19 16.M -19.29 -10.30 18,05 40.00 09855359 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 128 128 12 110 131 110 T 10.113.88 10.123,71 10.127,68 10.121.68 10.122.33 10.074,25 10.085.91 1006882 10.07.14 30031,63 30052,73 3006130 3006196 30.065.39 300030 3011647 WHERE 110111 3010 3004 2014.0 30102, 818 9.83 3.92 -5.95 065 -48,10 11,68 17,09 -3168 -5.51 21.10 8.57 WO 3,43 167 4:12 IN XW 127 2411 12 2149 179 180 381 182 183 134 186- 186 181 188 190 180 291 192 199 194 115 186 197 IN 141 230 10.175 34 30162,72 10.161,78 30134,50 1012041 10.122.31 100004 100725 10.11.2 30123,40 10111112 300647 10.30 10:10 10:15130 102100 30211.30 when arge 10.2017 30.325.00 10.344 725 3,40 40 4M 47,29 3,82 1.90 29.90 14.09 43,07 008 4,28 4171 at 43.3 ww 241 AN L 1005 TE 6 16C Teile sonnig H 2 FONE (A) ( Convert for