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

Politics of Information, Provide an example of "Politics of Information" an...

Provide an example of "Politics of Information" and how it can be used to facilitate organizational purposes? (Or in some instances, hinder them?)

Search engines , Search Engines Search engines 'are mechanisms which a...

Search Engines Search engines 'are mechanisms which aid users to search the entire Internet .for relevant information. They are based on allowing users to enter keywords that

Summarizes the information, We spent some time talking about data, especial...

We spent some time talking about data, especially through the number of articles from the Economist, including "Data, data everywhere",: • All too much • A different game • Clic

MB0038, Describe in detail the workflow of HRM that deploys ERP systems wit...

Describe in detail the workflow of HRM that deploys ERP systems with a neat Diagram

Maintenance of MIS, maintenance of MIS - step by step maintenance of MIS

maintenance of MIS - step by step maintenance of MIS

Selection tools - books, SELECTION TOOLS: Information Resources  Devel...

SELECTION TOOLS: Information Resources  Development is an  important activity  of any library or information centre as it ensures efficient and effective functioning of librar

Publishing agencies fall under three broad categories, Publishing agencies ...

Publishing agencies fall under three broad categories: i)  Trade Publishing Houses /Companies, Booksellers and Others; they publish  books of all varieties;  periodic

I need urgent help in MIS, how do i get assignment help in MIS subject? I n...

how do i get assignment help in MIS subject? I need urgent help in my homework and assignment...

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