Question: 2. (Spreadsheet Problem) Use the adjusted closing prices for the ETFs SPY (which tracks the S&P 500) and VB (the Vanguard Small-Cap Index Fund ETF)
2. (Spreadsheet Problem) Use the adjusted closing prices for the ETFs SPY (which tracks the S&P 500) and VB (the Vanguard Small-Cap Index Fund ETF) in the spreadsheet Assignment 8 Problem 2 Data 2022 on D2L. Suppose that your portfolio consists of $250,000 invested in SPY and $200,000 in VB index. I suggest doing all the calculations in thousands of dollars (i.e., with investments of $250 and $200). The 251 closing prices yield 250 simple daily returns. Determine the following: (a) Compute the one-day VaR98% and ES98% as shown in your chapter 13 slides (see also Section 13.1, but follow the procedure in your PP slides for computing ES98%). Note that VaR98% corresponds to the 0.02250 = 5th worst loss. Remember to compute the losses for each of the 250 scenarios using the current dollar investments. Paste the sorted 5 worst losses, along with the date that they occurred, into your solutions.?
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