Estimate its probability distribution

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Question: Use the historical simulation method(Ch. 22.2 in Hull) to compute the daily 95% Confidence Level Value-at-Risk of a portfolio consisting of 1000 shares of TSLA stock on 17-Oct-2022. Denote PnLt= Vt+1 -Vt the portfolio PnL (Price-and-Loss) for day t.

At the close of the day on 17-Oct-2022 we do not know yet the PnL for the next day, and we would like to estimate its probability distribution, in order to compute the VaR. Use the past 1 year of data (17-Oct-2021 to 17-Oct-2022) as inputs to the computation.

Reference no: EM133322697

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