The standard error is 2000 975 025 1 u q f where f q is an estimate of the loss

# The standard error is 2000 975 025 1 u q f where f q

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The standard error is 2000 975 . 0 025 . 0 ) ( 1 u q f where f ( q ) is an estimate of the loss probability density at the VaR point. In this case the 0.975 point on the approximating normal distribution is NORMINV(0.975,0,6) = 11.76. f ( q ) is estimated as NORMDIST(11.76,0,6,FALSE) = 0.0097. The standard error is therefore 358 . 0 2000 975 . 0 025 . 0 0097 . 0 1 u A 99% confidence interval for the VaR is 13 í 2.576 × 0.358 to 13 + 2.576 × 0.358 or 12.077 to 13.923. 13.13. (Spreadsheet Provided) Suppose that the portfolio considered in Section 13.1 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 web site to calculate what difference this makes to (a) The one-day 99% VaR and ES that are calculated in Section 13.1. (b) The one-day 99% VaR and ES that are calculated using the weighting-of observations procedure in Section 13.3 and O =0.995 (a) VaR is \$230,785; ES is \$324,857 (see worksheets 1 to 3) (b) VaR is \$262,456; ES is \$413,774 (see worksheets 4 and 5)