Question

Suppose that the portfolio considered in Section 22.2 has (in $$\$000s$$) 3,000 in DJIA, 3,000 in FTSE, 1,000 in CAC 40 and 3,000 in Nikkei 225. Use the spreadsheet on the author's website to calculate what difference this makes to the one-day $99 \% \mathrm{VaR}$ and ES that is calculated in Section 22.2.

   Suppose that the portfolio considered in Section 22.2 has (in $$\$000s$$) 3,000 in DJIA, 3,000 in FTSE, 1,000 in CAC 40 and 3,000 in Nikkei 225. Use the spreadsheet on the author's website to calculate what difference this makes to the one-day $99 \% \mathrm{VaR}$ and ES that is calculated in Section 22.2.

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Options, Futures, and Other Derivatives

Options, Futures, and Other Derivatives

John C. Hull 10th Edition

Chapter 22, Problem 22

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Step 1

The total value of the portfolio is $10,000 ($3,000 + $3,000 + $1,000 + $3,000). Therefore, the weight of each asset is: Weight of DJIA = $3,000 / $10,000 = 0.3 Weight of FTSE = $3,000 / $10,000 = 0.3 Weight of CAC 40 = $1,000 / $10,000 = 0.1 Weight of Nikkei Show more…

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Suppose that the portfolio considered in Section 22.2 has (in $$\$000s$$) 3,000 in DJIA, 3,000 in FTSE, 1,000 in CAC 40 and 3,000 in Nikkei 225. Use the spreadsheet on the author's website to calculate what difference this makes to the one-day $99 \% \mathrm{VaR}$ and ES that is calculated in Section 22.2.

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