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Model-building approach : a) 5-Day 99% VaR is 799,306.03. How do yo interpret this number?...

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Accounting

Model-building approach : a) 5-Day 99% VaR is 799,306.03. How do yo interpret this number?

b) 5-Day 90% VaR is 439,103.74. How do yo interpret this number?

c) Compare your results from a). and b). Which VaR is higher and why?

d) Compare the results of both Model-building approach and Historical simulation approach for the 5-day 99% VaR. What are possible explanations for the differences? (Model-building approach 5-day 99% VaR: 799,306.03. Historical simulation approach 5-day 99% VaR: 1,048,654.278)

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