Question: Suppose that an investor owns the 10 million portfolio in
Suppose that an investor owns the $10 million portfolio in Table 13.1 on September 30, 2014. The values of the four indices on that day were 17,042.90, 6622.7, 4,416.24, 16,173.52. The exchange rates on that day were:1.6211 USD per GBP, 0.7917 EUR per USD, and 109.64 JPY per USD. Suppose that the 250 days ending September 9, 2008 constitutes the stressed period for the portfolio. The liquidity horizon for each index is 10 days. Calculate the 97.5% expected shortfall using the overlapping periods method in conjunction with historical simulation..
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