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Question - Here are 500 scenarios generated by using historical simulation. The losses ranked from highest to lowest as presented below:
Rank by losses
Scenarios Number
Losses ( in $000s)
1
267
523.44
2
342
423.74
3
453
352.56
4
235
320.87
5
124
234.82
6
431
193.23
7
423
134.56
8
231
112.95
9
157
110.73
10
448
100.12
...
Required -
1. What is the one day-day 99% VaR and Expected Shortfall (ES)?
2. Now, five stress test conducted by the bank. The five scenarios lead to losses ($000s) of 220,310,450,650 and 890. The subjective probabilities assigned to these scenarios are 0.5%, 0.5%, 0.2%, 0.05%,0.01%, respectively. What is the new one-day 99% VaR that would be calculated by integrating stress testing and VaR calculation?
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