Calculate the monthly VaR at the 99 percent and 90 percent confidence level for various market segments
Question:
Calculate the monthly VaR at the 99 percent and 90 percent confidence level for various market segments given below. These are average value weighted returns obtained from http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html. The data include monthly returns from July 1926 through December 2010. Assume a current portfolio value of $100,000.
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To calculate the Value at Risk VaR for the given market segments at the 99 percent and 90 percent confidence levels we will use the mean and standard ...View the full answer
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