Question: Q 5 . For shared index data - set, Calculate VaR and Expected shortfall at 9 9 % & 9 5 % confidence level as

Q5. 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 4000300010002000

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