set.seed(150) > AAA logreturns mean_logreturns sd_logreturns VaR_99_normal ES_99_normal VaR_99_sample tail_losses

set.seed(150) > AAA <- rnorm(50, 50, 0.3) > logreturns <- diff(log(AAA)) > mean_logreturns <- mean(logreturns) > sd_logreturns <- sd(logreturns) > VaR_99_normal <- abs(qnorm(0.01) * sd_logreturns + mean_logreturns) > ES_99_normal <- mean_logreturns - (dnorm(qnorm(0.01)) / 0.01) * sd_logreturns > VaR_99_sample <- -quantile(logreturns, 0.01) > tail_losses <- logreturns[logreturns <= -VaR_99_sample] > ES_99_sample <- -mean(tail_losses)

>1

Calculated Numeric

2/2

Grade: 2 out of 2 points possible

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

Your answer: 0.02002137

Question 2

2

Calculated Numeric

2/2

Grade: 2 out of 2 points possible

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

Your answer: 0.02174024

Question 3

3

Calculated Numeric

0/2

Grade: 0 out of 2 points possible

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

Your answer: 0.02563994

Question 4

4

Calculated Numeric

2/2

Grade: 2 out of 2 points possible

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

Your answer: 0.02235154