Consider the ranked one-day loss scenarios for an equity portfolio, based on 500 historical observations (see...
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✓ Consider the ranked one-day loss scenarios for an equity portfolio, based on 500 historical observations (see the table below). Applying the weights to the scenarios, the approximate value for one-day VaR at 98% confidence is: Scenario Loss Weight Cum Weight 494 477.84 0.00528 0.00528 339 345.44 0.00243 0.00771 349 282.20 0.00255 0.01027 329 277.04 0.00231 0.01258 487 253.38 0.00510 0.01768 227 217.97 0.00139 0.01906 131 202.26 0.00086 0.01992 238 201.39 0.00146 0.02138 473 191.27 0.00475 0.02614 306 191.05 0.00206 0.02820 ✓ Consider the ranked one-day loss scenarios for an equity portfolio, based on 500 historical observations (see the table below). Applying the weights to the scenarios, the approximate value for one-day VaR at 98% confidence is: Scenario Loss Weight Cum Weight 494 477.84 0.00528 0.00528 339 345.44 0.00243 0.00771 349 282.20 0.00255 0.01027 329 277.04 0.00231 0.01258 487 253.38 0.00510 0.01768 227 217.97 0.00139 0.01906 131 202.26 0.00086 0.01992 238 201.39 0.00146 0.02138 473 191.27 0.00475 0.02614 306 191.05 0.00206 0.02820
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494 x 0477 236958 339 x 000528 178552 349 x 000771 27... View the full answer
Related Book For
Principles of Auditing and Other Assurance Services
ISBN: 978-0078025617
19th edition
Authors: Ray Whittington, Kurt Pany
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