Historical simulation approach, Management Information Sys

Assignment Help:

Ch 17 problem 17.11 What difference does it make to the Var calculated in Example 17.2 if the exponentially weighted moving average model is used to assign weights to scenarios as described in Section 12.3?

Suppose that, in the example in Section 12.1, five stressed scenarios are considered. They lead to losses($000s) of 235, 300, 450, 750, and 850. The subjective probabilities assigned to the scenarios are 0.5%, 0.2%, 0.2%, .05% and.05% respectively. The total probability of the stressed scenarios is, therefore, 1%, This means that the probability assigned to the scenarios generated by historical simulation if 99%, Assuming the equal weighting is used, each historical simulation scenario is assigned a probability of .99/500 =.00198. The probabilities assigned to scenarios are accumulated from the worst scenario to the best. The Var level when the confidence level is 99% is the first loss for which the cumulative probability is greater than.01. in the our example this is $300,000


Related Discussions:- Historical simulation approach

Research theory, Ask question #MinimumWrite a theory application in which y...

Ask question #MinimumWrite a theory application in which you: Discuss the concepts behind your chosen theory including how the theory has been developed or changed over time.

Characteristics of the organization, Try to relate the organization and ide...

Try to relate the organization and identify the characteristics of the person(s) required for the organization to do the day to day activities and for the long term survival Dis

Main objectives in information warfare, QUESTION 1 There are three main...

QUESTION 1 There are three main objectives in Information Warfare. What are they? QUESTION 2 Boisot defines a basics model about Data, Information & Knowledge in Inform

Describe four possible pitfalls of crowdsourcing, QUESTION Crowdsourcin...

QUESTION Crowdsourcing is the act of outsourcing tasks traditionally performed by an employee or a contractor, to a large group of people or a community (a crowd) through an op

Mis, Choose an industry of your choice and evaluate the past and present st...

Choose an industry of your choice and evaluate the past and present state of MIS in an organization of the industry. #Minimum 100 words accepted#

Internet connections, Internet Connections   It is important to know th...

Internet Connections   It is important to know that there are different kinds of connection to the Internet which determine the way in which we will be able to work on it. In o

Information System Organization, Is it ethical for people in an organizatio...

Is it ethical for people in an organization to withhold information and not share it with other employees? Under what circumstances would it be acceptable not to share certain type

Software , Software  The software in an IR system enables the following...

Software  The software in an IR system enables the following operations;  Entry of bibliographic data including index terms and the generation of the document description

Transaction Processing Systems, what role transaction processing system pla...

what role transaction processing system play in supermarket? how does it meets business requirements?

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd