Question: You are performing historical simulation analyses using volatility scaling. Your portfolio experienced a 25% loss today such that today at the end of the business

You are performing historical simulation analyses using volatility scaling. Your portfolio experienced a 25% loss today such that today at the end of the business day, the portfolio value equals $100.000 You estimate that tomorrow's volatility equals 0.75% and your estimate of today's volatility was 0.15% You want to add a new scenario based on this information Calculate (a) the value of the portfolio under this new scenario and (b) the loss under this new scenario Show your calculations (5 points) You are performing historical simulation analyses using volatility scaling. Your portfolio experienced a 25% loss today such that today at the end of the business day, the portfolio value equals $100.000 You estimate that tomorrow's volatility equals 0.75% and your estimate of today's volatility was 0.15% You want to add a new scenario based on this information Calculate (a) the value of the portfolio under this new scenario and (b) the loss under this new scenario Show your calculations (5 points)

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