The following shows a historical return series of Stock C. Day Daily Return of Stock C...
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The following shows a historical return series of Stock C. Day Daily Return of Stock C 1 -234567B2O 8 9 10 12.0% 12.0% -8.0% -2.0% 2.0% 4.0% -2.0% 5.0% 9.0% 28.0% Day 11 12 13 14 15 16 17 18 19 20 Daily Return of Stock C 9.0% 16.0% -1.0% 7.0% 19.0% 4.0% 14.0% 11.0% 11.0% 11.0% i) What is the procedure to find 90% daily Value-at-Risk (VaR) of stock C using historical simulation? What is the 90% daily Value-at-Risk (VaR) of an $1 million investment in stock C? ii) What is the 90% daily Expected Shortfall of an $1million investment in stock C? What are the advantages of Expected Shortfall over Value-at-Risk? The following shows a historical return series of Stock C. Day Daily Return of Stock C 1 -234567B2O 8 9 10 12.0% 12.0% -8.0% -2.0% 2.0% 4.0% -2.0% 5.0% 9.0% 28.0% Day 11 12 13 14 15 16 17 18 19 20 Daily Return of Stock C 9.0% 16.0% -1.0% 7.0% 19.0% 4.0% 14.0% 11.0% 11.0% 11.0% i) What is the procedure to find 90% daily Value-at-Risk (VaR) of stock C using historical simulation? What is the 90% daily Value-at-Risk (VaR) of an $1 million investment in stock C? ii) What is the 90% daily Expected Shortfall of an $1million investment in stock C? What are the advantages of Expected Shortfall over Value-at-Risk?
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To find the 90 daily ValueatRisk VaR using historical simulation for Stock C you can follow these steps 1 Arrange the historical daily returns of Stock C in chronological order 1 Calculate the corresp... View the full answer
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