Scenarios (Table14.3,page305)11,173.5911.022.0611.219.38CACScenarioDJIAFTSENikkeiLossPortfolioValueNumber110.977.0826,204.55115.059,569.2310,014.334-14.334210.925.979,676.966,293.60114.1310,027.481-27,481311,070.019.455.166,088.77112.409,946.73653,2644996,051.94113.859,857.465142.53510,831.439,383.4950011,222.539,763.97111.4010,126.439-126.4396,371.45RiskManagementandFinancialInstitutions3e,Chapter14,CopyrightJohnC.Hull20126
Scenarios (Table 14.3, page 305) Risk Management and Financial Institutions 3e, Chapter 14, Copyright © John C. Hull 2012 6 Scenario Number DJIA FTSE CAC Nikkei Portfolio Value Loss 1 10,977.08 9,569.23 6,204.55 115.05 10,014.334 -14.334 2 10,925.97 9,676.96 6,293.60 114.13 10,027.481 -27,481 3 11,070.01 9,455.16 6,088.77 112.40 9,946.736 53,264 . . . . . . . 499 10,831.43 9,383.49 6,051.94 113.85 9,857.465 142.535 500 11,222.53 9,763.97 6,371.45 111.40 10,126.439 -126.439 11,219.38 11,173.59 =11,022.06
Losses (Table 14.4, page 307)Scenario NumberLoss ($oo0s)494477.841339345.435349282.204329277.041487253.385227217.974131205.256One-day99%VaR=$253,3857RiskManagementandFinancialInstitutions3e,Chapter14,CopyrightJohnC.Hull2012
Losses (Table 14.4, page 307) Risk Management and Financial Institutions 3e, Chapter 14, Copyright © John C. Hull 2012 7 Scenario Number Loss ($000s) 494 477.841 339 345.435 349 282.204 329 277.041 487 253.385 227 217.974 131 205.256 One-day 99% VaR=$253,385
Accuracy (page 308)Suppose that x is the gth quantile of the lossdistribution when it is estimated from n observationsThe standard errorofxis1q(1-q)f(x) Vnwhere f(x) is an estimate of the probability density ofthe loss at the gth quantile calculated by assuming aprobability distributionforthelossRiskManagementandFinancialInstitutions3e,Chapter14,CopyrightJohnC.Hull20128
Accuracy (page 308) Suppose that x is the qth quantile of the loss distribution when it is estimated from n observations. The standard error of x is where f(x) is an estimate of the probability density of the loss at the qth quantile calculated by assuming a probability distribution for the loss n q q f x (1 ) ( ) 1 − Risk Management and Financial Institutions 3e, Chapter 14, Copyright © John C. Hull 2012 8