Calculation and discussion of the five-day 1%-Value at Risk (99% confidence level) of your portfolio using model- building approach. Show key steps of workings. (3 marks) Calculation and discussion of the five-day 1%-Value at Risk (99% confidence level) of your portfolio using a historical simulation approach. (3 marks)

Date	Sorted return
2/10/2017	-9.69%
3/10/2017	-9.04%
4/10/2017	-8.91%
5/10/2017	-8.01%
6/10/2017	-7.52%
9/10/2017	-7.40%
10/10/2017	-7.26%
11/10/2017	-6.93%

Answer rating: 100% (QA)

Answer To calculate the fiveday 1Value at Risk VaR at a 99 confidence level using a modelbuilding ap... View the full answer