Question: For shared index data-set, Calculate VaR and Expected shortfall at99%&95%confidence level as per a)Historical simulation(BRW)method equal weight b)Historical simulation(BRW)method with weight.(Take lambda value as0.97). c)


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




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