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Q8.

In the lecture, we studied the historical simulation approach to market risk VaR. As an extension to the baseline approach, we considered exponential weighting instead of an equal weight to all observation. We applied this extended approach to the analysis of a portfolio of four market indexes with an equal to 0.995. From the spreadsheet below we concluded that the one-day 99% VaR of the portfolio is $282,204. According to the spreadsheet, the one-day 96% VaR of the portfolio is closest to which of the following? 1 2 3 4 5 6 7 8 Scenario 494 339 349 329 487 227 131 238 473 306 477 495 9 10 11 12 13 14 376 237 B C D Loss ($000s) Weight Cum Weight 477.841 0.00528279 0.00528 345.435 0.002429074 0.00771 282.204 0.002553936 0.01027 277.041 0.002310317 0.01258 253.385 0.005100642 0.01768 217.974 0.001385562 0.01906 202.256 0.000856331 0.01992 201.389 0.001464104 0.02138 191.269 0.004754972 0.02614 191.050 0.002058745 0.02820 185.127 0.004851273 0.03305 184.450 0.005309336 0.03836 182.707 0.002924064 0.04128 180.105 0.001456784 0.04274 172.224 0.002767201 0.04551 172.212 0.001834566 0.04734 167.104 0.002953525 0.05029 167.066 0.002208408 0.05250 166.800 0.001493756 0.05400 166.517 0.002230659 0.05623 164.075 0.004050294 0.06028 160.778 0.002038209 0.06231 157.597 0.001919224 0.06423 156.830 0.005049763 0.06928 156.511 0.005177924 0.07446 152.982 0.001547099 0.07601 Scenarios Ranked Losses Scenarios with Exp W 15 16 17 18 19 20 21 22 23 24 25 26 365 283 378 320 242 322 441 304 292 485 490 249 27 Data Select one: O a. $156830 Ob. $164075 Oc $182707 Od $167104 In the lecture, we studied the historical simulation approach to market risk VaR. As an extension to the baseline approach, we considered exponential weighting instead of an equal weight to all observation. We applied this extended approach to the analysis of a portfolio of four market indexes with an equal to 0.995. From the spreadsheet below we concluded that the one-day 99% VaR of the portfolio is $282,204. According to the spreadsheet, the one-day 96% VaR of the portfolio is closest to which of the following? 1 2 3 4 5 6 7 8 Scenario 494 339 349 329 487 227 131 238 473 306 477 495 9 10 11 12 13 14 376 237 B C D Loss ($000s) Weight Cum Weight 477.841 0.00528279 0.00528 345.435 0.002429074 0.00771 282.204 0.002553936 0.01027 277.041 0.002310317 0.01258 253.385 0.005100642 0.01768 217.974 0.001385562 0.01906 202.256 0.000856331 0.01992 201.389 0.001464104 0.02138 191.269 0.004754972 0.02614 191.050 0.002058745 0.02820 185.127 0.004851273 0.03305 184.450 0.005309336 0.03836 182.707 0.002924064 0.04128 180.105 0.001456784 0.04274 172.224 0.002767201 0.04551 172.212 0.001834566 0.04734 167.104 0.002953525 0.05029 167.066 0.002208408 0.05250 166.800 0.001493756 0.05400 166.517 0.002230659 0.05623 164.075 0.004050294 0.06028 160.778 0.002038209 0.06231 157.597 0.001919224 0.06423 156.830 0.005049763 0.06928 156.511 0.005177924 0.07446 152.982 0.001547099 0.07601 Scenarios Ranked Losses Scenarios with Exp W 15 16 17 18 19 20 21 22 23 24 25 26 365 283 378 320 242 322 441 304 292 485 490 249 27 Data Select one: O a. $156830 Ob. $164075 Oc $182707 Od $167104

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