Question: Suppose that the portfolio considered in Section 13 1 has in

Suppose that the portfolio considered in Section 13.1 has (in $000s) 3,000 in DJIA, 3,000 in FTSE, 1,000 in CAC 40, and 3,000 in Nikkei 225. Use the spreadsheet on the author’s web site to calculate what difference this makes to
(a) The one-day 99% VaR and ES that are calculated in Section 13.1.
(b) The one-day 99% VaR and ES that are calculated using the weighting-of observations procedure in Section 13.3 and=0.995
(c) The one-day 99% VaR and ES that are calculated using the two volatility-updating procedures in Section 13.3 and  = 0.94. (Assume that the initial variance when EWMA is applied is the sample variance.)
(d) The one-day 99% VaR and ES that are calculated using extreme value theory in Section 13.6.

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  • CreatedJuly 30, 2015
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