The following are highly ranked losses for the 700 different scenarios under the historical simulation. What is the 5-da
Posted: Fri Mar 04, 2022 9:36 am
The following are highly ranked losses for the 700 different
scenarios under the historical simulation. What is the 5-day 99%
VaR?
Scenario Number
Loss ($000s)
494
477.841
339
345.435
349
282.204
329
277.041
487
253.385
227
217.974
131
202.256
238
201.389
473
191.269
306
191.050
477
185.127
495
184.450
376
182.707
237
180.105
365
172.224
…
…
A. $452,258
B. $202,256
C. $566,586
D. $253,385
Please show steps as to how you got the answer, thanks!
scenarios under the historical simulation. What is the 5-day 99%
VaR?
Scenario Number
Loss ($000s)
494
477.841
339
345.435
349
282.204
329
277.041
487
253.385
227
217.974
131
202.256
238
201.389
473
191.269
306
191.050
477
185.127
495
184.450
376
182.707
237
180.105
365
172.224
…
…
A. $452,258
B. $202,256
C. $566,586
D. $253,385
Please show steps as to how you got the answer, thanks!