= ) Problem 4. Use the variance-covariance method to estimate the daily VaR0.95 and ES0.95...
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= ) Problem 4. Use the variance-covariance method to estimate the daily VaR0.95 and ES0.95 for the portfolio with the following value at the period n= 0,1 Vn = CBS(tn, Sb) + exp(-(1 tn)r) Sim Suppose that the exercise price of the call option is K = 100, the current value of the stock Sl is So = 110, the time to maturity is one year (250 days), the volatility is o = 0.2 and the interest rate is r 0.02. The current value of the stock S2 is S2 = 80 and the daily log-return 0.1 1.5 X of (S1, S2) is assumed to follow N2 1.5 3 = 7 - 1 ([02] | ] = ) Problem 4. Use the variance-covariance method to estimate the daily VaR0.95 and ES0.95 for the portfolio with the following value at the period n= 0,1 Vn = CBS(tn, Sb) + exp(-(1 tn)r) Sim Suppose that the exercise price of the call option is K = 100, the current value of the stock Sl is So = 110, the time to maturity is one year (250 days), the volatility is o = 0.2 and the interest rate is r 0.02. The current value of the stock S2 is S2 = 80 and the daily log-return 0.1 1.5 X of (S1, S2) is assumed to follow N2 1.5 3 = 7 - 1 ([02] | ]
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