FTSE Bursa Malaysia KLCI (^KLSE;1=9) Kuala Lumpur - Kuala Lumpur Delayed Price. Currency in MYR Date Open High Low Close Adj Close Volume 1/03/2021 1578.699951 1642.199951 1563.180054 1573.51001 1573.51001 4714595900 1/04/2021 1579.969971 1623.469971 1575.180054 1601.650024 1601.650024 3523197200 1/05/2021 1602.089966 1602.089966 1552.069946 1583.550049 1583.550049 2395561300 1/06/2021 1585.73999 1599.719971 1531.660034 1532.630005 1532.630005 3017475700 1/07/2021 1533.339966 1541.109985 1494.599976 1494.599976 1494.599976 2417255800 1/08/2021 1497.390015 1604.900024 1483.72998 1601.380005 1601.380005 2651115400 1/09/2021 1603.430054 1604.97998 1520.709961 1537.800049 1537.800049 3673912800 1/10/2021 1536.48999 1613.349976 1515.540039 1562.310059 1562.310059 2788635500 1/11/2021 1545.98999 1545.98999 1501.51001 1513.97998 1513.97998 3513738600 1/12/2021 1507.47998 1567.530029 1475.369995 1567.530029 1567.530029 3210640900 1/01/2022 1553.640015 1570.140015 1503.339966 1512.27002 1512.27002 2675305200 1/02/2022 1515.920044 1535.119995 1515.25 1530.650024 1530.650024 421208400 based on the latest one year data compute the: 1. Value-at-Risks (Var) and 2. Conditional Value-at-Risks (CVar also known as Expected Shortfall) *(you are required to interpret both VaR & CVOR that have been computed at the confidence levels of 10%, 5%, and 1%.)
FTSE Bursa Malaysia KLCI (^KLSE;1=9) Kuala Lumpur - Kuala Lumpur Delayed Price. Currency in MYR Date Open High Low Close Adj Close Volume 1/03/2021 1578.699951 1642.199951 1563.180054 1573.51001 1573.51001 4714595900 1/04/2021 1579.969971 1623.469971 1575.180054 1601.650024 1601.650024 3523197200 1/05/2021 1602.089966 1602.089966 1552.069946 1583.550049 1583.550049 2395561300 1/06/2021 1585.73999 1599.719971 1531.660034 1532.630005 1532.630005 3017475700 1/07/2021 1533.339966 1541.109985 1494.599976 1494.599976 1494.599976 2417255800 1/08/2021 1497.390015 1604.900024 1483.72998 1601.380005 1601.380005 2651115400 1/09/2021 1603.430054 1604.97998 1520.709961 1537.800049 1537.800049 3673912800 1/10/2021 1536.48999 1613.349976 1515.540039 1562.310059 1562.310059 2788635500 1/11/2021 1545.98999 1545.98999 1501.51001 1513.97998 1513.97998 3513738600 1/12/2021 1507.47998 1567.530029 1475.369995 1567.530029 1567.530029 3210640900 1/01/2022 1553.640015 1570.140015 1503.339966 1512.27002 1512.27002 2675305200 1/02/2022 1515.920044 1535.119995 1515.25 1530.650024 1530.650024 421208400 based on the latest one year data compute the: 1. Value-at-Risks (Var) and 2. Conditional Value-at-Risks (CVar also known as Expected Shortfall) *(you are required to interpret both VaR & CVOR that have been computed at the confidence levels of 10%, 5%, and 1%.)
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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FTSE Bursa Malaysia KLCI (^KLSE;1=9) Kuala Lumpur - Kuala Lumpur Delayed Price. Currency in MYR
| Date | Open | High | Low | Close | Adj Close | Volume |
| 1/03/2021 | 1578.699951 | 1642.199951 | 1563.180054 | 1573.51001 | 1573.51001 | 4714595900 |
| 1/04/2021 | 1579.969971 | 1623.469971 | 1575.180054 | 1601.650024 | 1601.650024 | 3523197200 |
| 1/05/2021 | 1602.089966 | 1602.089966 | 1552.069946 | 1583.550049 | 1583.550049 | 2395561300 |
| 1/06/2021 | 1585.73999 | 1599.719971 | 1531.660034 | 1532.630005 | 1532.630005 | 3017475700 |
| 1/07/2021 | 1533.339966 | 1541.109985 | 1494.599976 | 1494.599976 | 1494.599976 | 2417255800 |
| 1/08/2021 | 1497.390015 | 1604.900024 | 1483.72998 | 1601.380005 | 1601.380005 | 2651115400 |
| 1/09/2021 | 1603.430054 | 1604.97998 | 1520.709961 | 1537.800049 | 1537.800049 | 3673912800 |
| 1/10/2021 | 1536.48999 | 1613.349976 | 1515.540039 | 1562.310059 | 1562.310059 | 2788635500 |
| 1/11/2021 | 1545.98999 | 1545.98999 | 1501.51001 | 1513.97998 | 1513.97998 | 3513738600 |
| 1/12/2021 | 1507.47998 | 1567.530029 | 1475.369995 | 1567.530029 | 1567.530029 | 3210640900 |
| 1/01/2022 | 1553.640015 | 1570.140015 | 1503.339966 | 1512.27002 | 1512.27002 | 2675305200 |
| 1/02/2022 | 1515.920044 | 1535.119995 | 1515.25 | 1530.650024 | 1530.650024 | 421208400 |
based on the latest one year data compute the:
1. Value-at-Risks (Var) and
2. Conditional Value-at-Risks (CVar also known as Expected Shortfall)
*(you are required to interpret both VaR & CVOR that have been computed at the confidence levels of 10%, 5%, and 1%.)
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