When the partial durations are as in Table 9.5, estimate the effect of a shift in the yield curve where the ten-year rate stays the same, the one-year rate moves up by 9e, and the movements in intermediate rates are calculated by interpolation between 9e and 0. How could your answer be calculated from the results for the rotation calculated in Section 9.6?
Answer to relevant QuestionsSuppose that the change in a portfolio value for a one-basis-point shift in the 1-year, 2-year, 3-year, 4-year, 5-year, 7-year, 10-year, and 30-year rates are (in $ million) +5, –3, –1, +2, +5, +7, +8, and +1, ...Estimate parameters for the EWMA and GARCH(1,1) model on the euro-USD exchange rate data between July 27, 2005, and July 27, 2010. This data can be found on the author’s website: www-2.rotman.utoronto.ca/∼hull/RMFI/data The default rates in the last 15 years for a certain category of loans is 2%, 4%, 7%, 12%, 6%, 5%, 8%, 14%, 10%, 2%, 3%, 2%, 6%, 7%, 9%. Use the maximum likelihood method to calculate the best fit values of the parameters in ...Investigate the effect of applying extreme value theory to the volatility adjusted results in Section 13.3 with u = 350. The calculations in Section 15.3 assume that the investments in the DJIA, FTSE 100, CAC 40, and Nikkei 225 are $4 million, $3 million, $1 million, and $2 million, respectively. How do the VaR and ES change if the investment ...
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