A passive long only Equity portfolio Manager with asset under management (AUM) of $ 1.5...
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Accounting
A passive long only Equity portfolio Manager with asset under management (AUM) of $ 1.5 Billion has the following investments:
Index
Google Ticker
Yahoo Ticker
Currency
% of Portfolio
Dow Jones
INDEXDJX:DJI
^DJI
USD
20%
S&P 500
INDEXSP:INX
^GSPC
USD
30%
FTSE 250
INDEXFTSE:MCX
^FTMC
GBP
15%
TSX 100
INDEXTSI:OSPTX
^GSPTSE
CAD
5%
DAX performance
INDEXDB:DAX
^GDAXI
EUR
10%
CAC 40
INDEXEURO:PX1
^FCHI
EUR
10%
SENSEX
INDEXBOM:SENSEX
^BSESN
INR
10%
Table 1: Passive Portfolio Position
The Manager is interested in knowing:
a)VaR at 99%
b)Var at 99.5%
c)ES at 99%
d)ES at 99.5%
The manager asks the risk analyst [1]to construct the following scenarios:
1a) Using the past five years of data compute the VAR and ES at 99% and 99.5% using historical simulation method?
1b) Using the past five years of data compute the VAR and ES at 99% and 99.5%. Assume that the losses/gains are normally distributed with mean = mean of Losses/gains and SD = standard Deviation of Losses/gains.
[1] The data for the index is provided in which currency is quoted indirectly (1 USD = x local currency)
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