Question 57

Assume that a risk manager wants to calculate VaR for a stock index futures contract using the historical simulation approach. The current price of the contract is $1,250, and the multiplier is 250. What is the 95% VaR of the position, given the data extract of returns from the previous 120 trading days below?

Returns data: −10.20%, −9.80%, −9.70%, −9.00%, −8.95%, −8.72%, −8.14%, −7.90%, …, 8.60%, 8.90%, 9.40%, 9.90%, 10.20%, 10.45%