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Category > Business & Finance Posted 22 Jul 2017 My Price 8.00

Greg Lawrence is a risk analyst at ES Bank

Greg Lawrence is a risk analyst at ES Bank. After estimating the 99%, one-day VAR of the bank"s portfolio using historical simulation with 1,200 past days, he is concerned that the VAR measure is not providing enough information about tail losses. He decides to reexamine the simulation results. Sorting the simulated daily P&L from worst to best gives the following results:

Rank

1

2

3

4

5

6

P&L

-2,833

2,333

-2,228

-2,084

-1,960

-1,751

Rank

7

8

9

10

11

12

P&L

-1,679

-1,558

-1,542

-1,484

-1,450

-1,428

Rank

13

14

15

      

P&L

-1,368

-1,347

-1,319

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Status NEW Posted 22 Jul 2017 11:07 AM My Price 8.00

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