For shared index data-set, Calculate VaR and Expected shortfall at 99% & 95% confidence level as per

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a) Historical simulation (BRW) method equal weight

b) Historical simulation (BRW) method with weight. (Take lambda value as 0.97).

c) Following are the portfolio weight:

Portfolio X Y Z A

Investments 4000 3000 1000 2000

Posted Date: May 18, 2024 12:19 PM

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For shared index data-set, Calculate VaR and Expected shortfall at 99% & 95% confidence level as per

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