For shared index data-set, Calculate VaR and Expected shortfall at99%&95%confidence level as per a)Historical simulation(BRW)method equal weight
Question:
For shared index data-set, Calculate VaR and Expected shortfall at 99% & 95% confidence level as per
a) Historical simulation (BRW) method equal weight
b) Historical simulation (BRW) method with weight. (Take lambda value as 0.97).
c) Following are the portfolio weight:
Portfolio X Y Z A
Investments 4000 3000 1000 2000
Data set
Index X Index Y Index Z Index A
11219.38 11131.84224 2282.67 15154.06
11173.59 11096.28032 2303.71 15464.66
11076.18 11185.3503 2316.41 15656.59
11124.37 11016.70812 2308.86 15630.91
11088.02 11040.7297 2312.2 15565.02
11097.87 11109.50407 2345.95 15857.11
11230.26 11179.46945 2365.48 15816.19
11327.12 11203.54 2380.59 16071.36
11334.96 11170.04724 2382.36 16020.84
11381.47 11096.03064 2388.06 16105.98
11345.04 11221.1344 2364.05 15969.04
11339.84 11147.0601 2337.43 16181.17
11297.9 11097.082 2376.72 16163.03
11304.46 11100.81574 2395.67 15960.62
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders