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Q.4005 Assume the following observed parameter values: - $\beta = 0.60$ - $\xi = 0.30$ - $\mu = 1\%$ - $\frac{N_\mu}{n} = 5\%$ Compute the VaR at 99% confidence and the corresponding expected shortfall. | Financial Risk Manager Part 2 Quiz - LeetQuiz

Explanation:

\text{VaR} = \mu + \frac{\beta}{\xi} \left[ \left( \frac{n}{N_\mu} (1 - \text{confidence level}) \right)^{-\xi} - 1 \right]

\text{VaR}_{0.99} = 1 + \frac{0.6}{0.3} \left[ \left( \frac{1}{0.05} (1 - 0.99) \right)^{-0.30} - 1 \right] = 2.2413\%

\text{ES} = \frac{\text{VaR}}{1 - \xi} + \frac{\beta - \xi \mu}{1 - \xi}

= \frac{2.2413}{1 - 0.3} + \frac{0.6 - 0.3 \times 1}{1 - 0.3} = 3.6304\%

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Financial Risk Manager Part 2

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Q.4005 Assume the following observed parameter values:

$\beta = 0.60$

$\xi = 0.30$

$\mu = 1\%$

$\frac{N_\mu}{n} = 5\%$

Compute the VaR at 99% confidence and the corresponding expected shortfall.

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Financial Risk Manager Part 2

Get started today

Comments (0)

Get started today

Q.4005 Assume the following observed parameter values: β=0.60\beta = 0.60β=0.60 ξ=0.30\xi = 0.30ξ=0.30 μ=1%\mu = 1\%μ=1% Nμn=5%\frac{N_\mu}{n} = 5\%nNμ​​=5% Compute the VaR at 99% confidence and the corresponding expected shortfall.

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Q.4005 Assume the following observed parameter values:

$\beta = 0.60$

$\xi = 0.30$

$\mu = 1\%$

$\frac{N_\mu}{n} = 5\%$

Compute the VaR at 99% confidence and the corresponding expected shortfall.