# 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..

## Relevant Questions

A company enters into a short futures contract to sell 5,000 bushels of wheat for 250 cents per bushel. The initial margin is $3,000 and the maintenance margin is $2,000. What price change would lead to a margin call? Under ...The value of a company’s equity is $4 million and the volatility of its equity is 60%. The debt that will have to be repaid in two years is $15 million. The risk-free interest rate is 6% per annum. Use Merton’s model to ...Suppose that a bank has a total of $10 million of small exposures of a certain type. The one-year probability of default is 1% and the recovery rate averages 40%. Estimate the 99.5% one-year credit VaR using Vasicek’s ...Suppose that a trader has bought some illiquid shares. In particular, the trader has 100 shares of A, which is bid $50 and offer $60, and 200 shares of B, which is bid $25 offer $35. What are the proportional bid–offer ...Suppose daily losses (gains) from trading are independent and normally distributed with mean zero. Calculate in terms of the standard deviation of the daily losses (gains) (a) the basic Basel I regulatory capital requirement ...Post your question