On 30th March 2023, calculate 5% and 1% 20-day VaR of Mrs Rosie Su's stock portfolio (which was constructed in Scenario assuming that there is no change in the number of shares in the portfolio) using the historical method. 

Interpret the value at risk results calculated so that your client would easily understand them.

Follow up your VaR estimates in part 2.2a with an ex-post evaluation, i.e. Discuss how your VaR results compare to the actual 20-day portfolio returns from 31st March 2023 to 28th April 2023.

Answer rating: 100% (QA)

Value at Risk VaR is a risk measurement technique used to estimate the potential loss in the value o... View the full answer