Suppose that the portfolio considered in Section 13.1 has (in $000s) 3,000 in DJIA, 3,000 in FTSE,
Question:
(a) The one-day 99% VaR and ES that are calculated in Section 13.1.
(b) The one-day 99% VaR and ES that are calculated using the weighting-of observations procedure in Section 13.3 and=0.995
(c) The one-day 99% VaR and ES that are calculated using the two volatility-updating procedures in Section 13.3 and = 0.94. (Assume that the initial variance when EWMA is applied is the sample variance.)
(d) The one-day 99% VaR and ES that are calculated using extreme value theory in Section 13.6.
Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
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