The risk manager wants to verify that the portfolio is not too exposed to the market risk.

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The risk manager wants to verify that the portfolio is not too exposed to the market risk. In order to do that, he will compute various risk metrics.

a. What are the current 1-day historical Value-at-Risk (VaR) and 1-day Expected Shortfall (ES) of the portfolio at level 1%? Comment on your results.

b. How does the result change when the risk manager adopts a Gaussian parametric estimation approach? Comment on your results.

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Statistics Informed Decisions Using Data

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5th Edition

Authors: Michael Sullivan III

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Posted Date: Apr 02, 2024 05:02 AM

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The risk manager wants to verify that the portfolio is not too exposed to the market risk.

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To compute the risk metrics for the portfolio we need historical return data for the portfolio a Current 1day historical ValueatRisk VaR and 1day Expe... View the full answer

Statistics Informed Decisions Using Data

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