matlab

(a) Historical simulation is often used for forecasting risk and managing risk in financial markets. Load Data_FXRates and select the Danish Krone/US Dollar FOREX index, then generate the percentage compounded return series. Suppose that an investor was long in RM750,000 in the selected FOREX market, write a script to i. compute the 5% estimated daily VaR and Expected Shortfall. ii. compute the 1% estimated daily VaR and Expected Shortfall. Comment on your results (Handwriting). [13] (a) Historical simulation is often used for forecasting risk and managing risk in financial markets. Load Data_FXRates and select the Danish Krone/US Dollar FOREX index, then generate the percentage compounded return series. Suppose that an investor was long in RM750,000 in the selected FOREX market, write a script to i. compute the 5% estimated daily VaR and Expected Shortfall. ii. compute the 1% estimated daily VaR and Expected Shortfall. Comment on your results (Handwriting). [13]