Question 3 (7 points) Consider the following weekly P&L historical data over the last 22 weeks....
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Question 3 (7 points) Consider the following weekly P&L historical data over the last 22 weeks. Each observation has been assigned a weight to reflect how likely the observation will be repeated (higher weights for more recent observations). All risk measure computations will be done for portfolio P&L over 1 week, and with risk tolerance = 5%. 1. (1 point) Compute the Historical VaR. 2. (2 points) Compute the Historical ES. 3. (2 points) Compute the Hybrid VaR. 4. (2 points) Compute the Hybrid ES. P&L $1.3M $0.8M -$1.1M -80.1M Weights 0.02 0.04 0.02 0.06 $2.1M 0.06 -$1.8M 0.08 80.1M 0.02 $0.9M 0.04 -$0.3M 0.10 -$2.4M 0.12 -$0.8M 0.02 -$1.2M 0.03 $1,7M 0.04 80.6M 0.03 -$0.2M 0.05 $1.0M 0.08 $3.2M 0.07 -$2.8M 0.02 -$1.9M 0.02 -$0.5M -$1.5M 80.7M 0.03 0.02 0.03 Question 3 (7 points) Consider the following weekly P&L historical data over the last 22 weeks. Each observation has been assigned a weight to reflect how likely the observation will be repeated (higher weights for more recent observations). All risk measure computations will be done for portfolio P&L over 1 week, and with risk tolerance = 5%. 1. (1 point) Compute the Historical VaR. 2. (2 points) Compute the Historical ES. 3. (2 points) Compute the Hybrid VaR. 4. (2 points) Compute the Hybrid ES. P&L $1.3M $0.8M -$1.1M -80.1M Weights 0.02 0.04 0.02 0.06 $2.1M 0.06 -$1.8M 0.08 80.1M 0.02 $0.9M 0.04 -$0.3M 0.10 -$2.4M 0.12 -$0.8M 0.02 -$1.2M 0.03 $1,7M 0.04 80.6M 0.03 -$0.2M 0.05 $1.0M 0.08 $3.2M 0.07 -$2.8M 0.02 -$1.9M 0.02 -$0.5M -$1.5M 80.7M 0.03 0.02 0.03
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Principles of Marketing
ISBN: 978-0133084047
15th global edition
Authors: Philip T. Kotler, Gary Armstrong
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