13 Consider the following returns for a portfolio of stocks that replicates the S&P 500 index that has a current market value of £250,000: Time Day 1 Day 2 Day 3 Day 4 Day 5 Return (%) 0.1% 0.2% -0.15% 0.12% 0.08% Required Calculate the daily VAR using the historical simulation approach and an 80% confidence interval (Note: do not use the PERCENTILE function in MS Excel) Assuming a zero mean return, compute the daily VAR using the RiskMetrics approach and an 80% confidence interval and comment on the difference with the 1-day VAR based on historical simulation
13 Consider the following returns for a portfolio of stocks that replicates the S&P 500 index that has a current market value of £250,000: Time Day 1 Day 2 Day 3 Day 4 Day 5 Return (%) 0.1% 0.2% -0.15% 0.12% 0.08% Required Calculate the daily VAR using the historical simulation approach and an 80% confidence interval (Note: do not use the PERCENTILE function in MS Excel) Assuming a zero mean return, compute the daily VAR using the RiskMetrics approach and an 80% confidence interval and comment on the difference with the 1-day VAR based on historical simulation
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Question
13
Consider the following returns for a portfolio of stocks that replicates the S&P 500 index that has a current market value of £250,000:
|
Time |
Day 1 |
Day 2 |
Day 3 |
Day 4 |
Day 5 |
|
Return (%) |
0.1% |
0.2% |
-0.15% |
0.12% |
0.08% |
Required
- Calculate the daily VAR using the historical simulation approach and an 80% confidence interval (Note: do not use the PERCENTILE function in MS Excel)
- Assuming a zero mean return, compute the daily VAR using the RiskMetrics approach and an 80% confidence interval and comment on the difference with the 1-day VAR based on historical simulation
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