You are asked to calculate the one-day 95% VaR for a portfolio using the historical method, with
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You are asked to calculate the one-day 95% VaR for a portfolio using the historical method, with a window of 256 days. The table below contains the 20 worst backcast returns for the portfolio along with the time at which the returns occurred, t = 0, 1, 2, …, 255. The most recent date is t = 0, and the oldest is t = 255.
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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