Question 4

Question 4

2 Points

Based on the sample distribution, the 99% VaR is a loss of _________ .

Integer, decimal, or E notation allowed

Question 3

Question 3

2 Points

Assuming that the daily log returns for AAA Inc. follow normal distribution, the 99% ES is a loss of __________ .

Integer, decimal, or E notation allowed

Question 2

Question 2

2 Points

Based on the sample distribution, the 99% ES is a loss of__________ .

Integer, decimal, or E notation allowed

Question 1

Question 1

2 Points

Assuming that the daily log returns for AAA Inc. follow normal distribution, the 99% VaR is a loss of __________ .

Integer, decimal, or E notation allowed

Please follow the following instructions. The instructions indicate how to generate log returns of AAA Inc.

install.packages("QRM")

library(QRM)

set.seed(150)

AAA <- rnorm(50, 50, 0.3)

logreturns <- diff(log(AAA))