Financial Risk Manager Part 1
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A hedge fund's risk analyst is carrying out a historical simulation to determine the Expected Shortfall (ES) of a portfolio. This portfolio's daily valuation depends on the stock price and the interest rate recorded at the market's close. The analyst has gathered closing values for these variables over the last 501 trading days to create a comprehensive historical dataset necessary for the simulation exercise. Day 0 represents the initial data point, and Day 500 marks the end of the historical period. Below is a snippet of the dataset:
| Day | Stock price (HKD) | Interest rate (%) |
|---|---|---|
| 1 | 76.00 | 2.50% |
| 2 | 72.00 | 2.60% |
| 500 | 94.00 | 3.80% |
Based on this dataset, what are the most appropriate stock price and interest rate values that the analyst should use for the historical simulation scenario on Day 501?