Fight Finance

Courses  Tags  Random  All  Recent  Scores

Question 948  VaR

Below is a historical sample of returns on the S&P500 capital index.

S&P500 Capital Index Daily Returns
Ranked from Best to Worst
10,000 trading days from 4th August 1977 to
24 March 2017 based on closing prices.
Rank Date
(DD-MM-YY)
Continuously compounded
daily return (% per day)
1 21-10-87 9.23
2 08-03-83 8.97
3 13-11-08 8.3
4 30-09-08 8.09
5 28-10-08 8.01
6 29-10-87 7.28
9980 11-12-08 -5.51
9981 22-10-08 -5.51
9982 08-08-11 -5.54
9983 22-09-08 -5.64
9984 11-09-86 -5.69
9985 30-11-87 -5.88
9986 14-04-00 -5.99
9987 07-10-98 -6.06
9988 08-01-88 -6.51
9989 27-10-97 -6.55
9990 13-10-89 -6.62
9991 15-10-08 -6.71
9992 29-09-08 -6.85
9993 07-10-08 -6.91
9994 14-11-08 -7.64
9995 01-12-08 -7.79
9996 29-10-08 -8.05
9997 26-10-87 -8.4
9998 31-08-98 -8.45
9999 09-10-08 -12.9
10000 19-10-87 -23.36
 
Mean of all 10,000: 0.0354
Sample standard deviation of all 10,000: 1.2062
Sources: Bloomberg and S&P.
 

 

Assume that the one-tail Z-statistic corresponding to a probability of 99.9% is exactly 3.09. Which of the following statements is NOT correct? Based on the historical data, the 99.9% daily:




Copyright © 2014 Keith Woodward