Financial Risk Manager Part 2

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Explanation:

Recall,

\alpha \text{VaR} = -(\mu_r - \hat{\sigma}_{r,\alpha}) P_{t-1}

Therefore, the 95% VaR is:
$-1.55 + 1.07 \times 1.645 = 0.21015$

The 99% VaR is:
$-1.55 + 1.07 \times 2.326 = 0.93882$

Explanation:

Recall,

\alpha \text{VaR} = -(\mu_r - \hat{\sigma}_{r,\alpha}) P_{t-1}

Therefore, the 95% VaR is:
$-1.55 + 1.07 \times 1.645 = 0.21015$

The 99% VaR is:
$-1.55 + 1.07 \times 2.326 = 0.93882$

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UAnonymous

Last updated: July 5, 2026 at 07:18

The 95% VaR is 2.3658 and the 99% VaR is 3.6588.

The 95% VaR is 1.4542 and the 99% VaR is 0.0652.

The 95% VaR is 0.6742 and the 99% VaR is 3.00896.

The 95% VaR is 0.21015 and the 99% VaR is 0.93882.