suppose that the portfolio considered in section 12.1 has (in $000s)3,000 in DJI

Question

suppose that the portfolio considered in section 12.1 has (in $000s)3,000 in DJIA,3,000 in FTSE, 1,000 in CAC 40 and 3,000 in Nikkei 225 use the spread sheet website to calculate what difference this make to
a) The one day 99% VaR that is calculated in section 12.1
b) The one day 99% VaR that is calculated using the weighting of observations procedure in section 12.3
c) The one day 99% VaR that is calculated using the volatility updating procedure in section 12.3
d) The only one day 995 VaR that is calculated using extreme value theory in section 12.4

Explanation / Answer

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