Question: please answer question using excel sheet and provide formulas and work done for question 1, ty A passive long only Equity portfolio Manager with asset

 please answer question using excel sheet and provide formulas and work

please answer question using excel sheet and provide formulas and work done for question 1, ty

A passive long only Equity portfolio Manager with asset under management (AUM) of $1.5 Billion has the following investments: Table 1: Passive Portfolio Position The Manager is interested in knowing: a) VaR at 99% b) Var at 99.5% c) ES at 99% d) ES at 99.5% The manager asks the risk analyst 1 to construct the following scenarios: 1) Using the past five years of data compute the VAR and ES at 99% and 99.5% using historical simulation method? A passive long only Equity portfolio Manager with asset under management (AUM) of $1.5 Billion has the following investments: Table 1: Passive Portfolio Position The Manager is interested in knowing: a) VaR at 99% b) Var at 99.5% c) ES at 99% d) ES at 99.5% The manager asks the risk analyst 1 to construct the following scenarios: 1) Using the past five years of data compute the VAR and ES at 99% and 99.5% using historical simulation method

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!