Question 3 (7 points) Consider the following weekly P&L historical data over the last 22 weeks....
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
Question 3 (7 points) Consider the following weekly P&L historical data over the last 22 weeks. Each observation has been assigned a weight to reflect how likely the observation will be repeated (higher weights for more recent observations). All risk measure computations will be done for portfolio P&L over 1 week, and with risk tolerance = 5%. 1. (1 point) Compute the Historical VaR. 2. (2 points) Compute the Historical ES. 3. (2 points) Compute the Hybrid VaR. 4. (2 points) Compute the Hybrid ES. P&L $1.3M $0.8M -$1.1M -80.1M Weights 0.02 0.04 0.02 0.06 $2.1M 0.06 -$1.8M 0.08 80.1M 0.02 $0.9M 0.04 -$0.3M 0.10 -$2.4M 0.12 -$0.8M 0.02 -$1.2M 0.03 $1,7M 0.04 80.6M 0.03 -$0.2M 0.05 $1.0M 0.08 $3.2M 0.07 -$2.8M 0.02 -$1.9M 0.02 -$0.5M -$1.5M 80.7M 0.03 0.02 0.03 Question 3 (7 points) Consider the following weekly P&L historical data over the last 22 weeks. Each observation has been assigned a weight to reflect how likely the observation will be repeated (higher weights for more recent observations). All risk measure computations will be done for portfolio P&L over 1 week, and with risk tolerance = 5%. 1. (1 point) Compute the Historical VaR. 2. (2 points) Compute the Historical ES. 3. (2 points) Compute the Hybrid VaR. 4. (2 points) Compute the Hybrid ES. P&L $1.3M $0.8M -$1.1M -80.1M Weights 0.02 0.04 0.02 0.06 $2.1M 0.06 -$1.8M 0.08 80.1M 0.02 $0.9M 0.04 -$0.3M 0.10 -$2.4M 0.12 -$0.8M 0.02 -$1.2M 0.03 $1,7M 0.04 80.6M 0.03 -$0.2M 0.05 $1.0M 0.08 $3.2M 0.07 -$2.8M 0.02 -$1.9M 0.02 -$0.5M -$1.5M 80.7M 0.03 0.02 0.03
Expert Answer:
Answer rating: 100% (QA)
15 4 Lx 2 3 4 5 6 7 8 9 10 11 All A Connections 13 08 11 01 Edit Links ... View the full answer
Related Book For
Principles of Marketing
ISBN: 978-0133084047
15th global edition
Authors: Philip T. Kotler, Gary Armstrong
Posted Date:
Students also viewed these accounting questions
-
Managing Scope Changes Case Study Scope changes on a project can occur regardless of how well the project is planned or executed. Scope changes can be the result of something that was omitted during...
-
The following additional information is available for the Dr. Ivan and Irene Incisor family from Chapters 1-5. Ivan's grandfather died and left a portfolio of municipal bonds. In 2012, they pay Ivan...
-
The Crazy Eddie fraud may appear smaller and gentler than the massive billion-dollar frauds exposed in recent times, such as Bernie Madoffs Ponzi scheme, frauds in the subprime mortgage market, the...
-
Dakota Company purchased several assets from a competitor, paying a lump-sum of $1,000,000 (one million dollars). The assets included: i. Land - valued at $420,000 ii. Building - valued at $400,000...
-
Bank A offers loans with a 10 percent stated annual rate and a 10 percent compensating balance. You wish to obtain $250,000 in a six-month loan. a. How much must you borrow in order to obtain...
-
How do pools of nonconforming mortgages differ from those of Ginnie, Fannie, and Freddie? In forming these pools, what do issuers have to do to make them attractive to investors?
-
Why is the Industrial Revolution significant for managers?
-
At December 31, Ortiz Corporation reports net income of $480,000. Prepare the entry to close net income.
-
XYZ Co. is considering two mutually exclusive projects with the same cost of capital of 13%. The estimated net cash flows are as follows: Year Project X Project Y 0 -$450 -$300 1 $250 $260 2 $250...
-
8.1 Create a one-way data table for profit at different levels of supplier contact in range B22:C33. Ensure that the price in cell C3 is $290 and the advertising budget in cell C5 is $35,000,000 (you...
-
In the city of Growville, the equilibrium employment is 110,000 workers and the equilibrium wage is $90 per day. The wage elasticity of demand for labor is 1.0 and the wage elasticity of supply of...
-
A 6.0-kg block is released from rest 80 m above the ground. When it has fallen 60 m, what is its kinetic energy ?
-
Interest is a concept familiar to most people: every credit card in existence has a term called annual percentage rate (APR), which is an interest rate. Suppose you charged $1,000 to a credit card...
-
Why is a strong online presence important? How can developing our website affect us and our customers? How can we monitor progress to see the impact of changes? Explain.
-
Consider the following as to how each would effect the estate tax return for Allen's estate: Allen's will also provided that a trust be created and funded with $500,000. The terms of the trust...
-
Why did Perrow thinks that welfare agencies such as mental health hospitals are established for the purpose of being able to stay there are actions in place for problems?
-
Describe the key features of the graphs below in 150 to 200 words. You need to start with an overview of what the graph is about, then you need to cover all key information you can understand from...
-
Ask students to outline the reasons why the various elements of culture (social structures and control systems, language and aesthetics, religion and other belief systems, educational systems, etc.)...
-
What is test marketing? Explain why companies may or may not test market products and discuss alternatives to full test markets.
-
1. Which factors are clothing marketers using to influence consumers? Ask five female and five male friends how much the size labeled on clothing influences their behavior. Write a brief report of...
-
Name and describe the types of costs marketing must consider when setting prices. Describe the types of cost-based pricing and the method of implementing each.
-
Consider the feedback system shown in Figure 10.26. a. Using Routh's stability criterion, determine the range of the control gain \(K\) for which the closed-loop system is stable. b. Use MATLAB...
-
The transfer function of a dynamic system is given by \[G(s)=\frac{s+1}{4 s^{4}+5 s^{3}+2 s^{2}+s+6} \] a. Using Routh's stability criterion, determine the stability of the system. b. Using MATLAB,...
-
Figure 10.40 shows a negative feedback control system. a. Design a P controller such that the damping ratio of the closed-loop system is 0.5 . b. Estimate the rise time, overshoot, and \(2 \%\)...
Study smarter with the SolutionInn App