What difference does volatility scaling make on estimating the VaR and expected shortfall when we use historical simulation?
generally use of VaR is to measure any kind of loss that may occur (risk) on investments or buying any property.
but when we take historical stimulation , one need to see length of historical period and the structure of shocks with their hetroscedendicity in the risk factrs in the simple case.
but if you consider volatlity scaling on estimating the VaR (value at risk) using historical stimulation , one needs to rescale the past observation of risk factors to account for volatility dynamics during the estimation period.
this kind of study is more used to check back testing of properties with increase in price and its cycle.
What difference does volatility scaling make on estimating the VaR and expected shortfall when we use historical simulation?
Short-answer questions (4 pts each) A) What does the historical relationship between volatility and return tell us about investors' attitude toward risk? (You should be meticulous and specific in your answer) B) Why do investors demand a higher return when investing in riskier securities? C) How does the standard deviation of historical returns affect our confidence in predicting the next period's return? Explain.
when is income recognized in FFSC vs GAPP? what difference does this make?
Why is it unethical not to record adjusting entries when required? What difference does it make?
You are an accountant in a privately held organization, does this make a difference when you are analyzing the financial reports and if so, in what ways?
International Financial Reporting Standards (IFRS) does not use historical cost. As we discussed in Chapter 6, historical cost is the original monetary value of an item. For an example, if land was originally purchased one hundred years ago for $50,000, then that land would still be on the books for $50,000. Most importantly this cost is concrete and documented. Instead, IFRS revalues items at their current market value and the capital assets are marked up or down. What is the...
What are benefits? How do we estimate costs and benefits? Is there a difference when we estimate a known project vs. a new project? What are the estimating models and what are the difference between them? What are the basic definitions of the following terms: cost, benefit, sunk cost, production cost, opportunity cost, marginal cost, overhead cost, profit, deficit, break even point,interest, compounding, supply, demand, price, value, money, GDP present value, future value, annuities [Be able to differentiate between concepts...
International Financial Reporting Standards (IFRS) does not use historical cost. As we discussed in Chapter 6, historical cost is the original monetary value of an item. For an example, if land was originally purchased one hundred years ago for $50,000, then that land would still be on the books for $50,000. Most importantly this cost is concrete and documented. Instead, IFRS revalues items at their current market value and the capital assets are marked up or down. What is the...
8) When performing a High-Altitude Simulation Test, what gas is use? What device is used to deliver this gas? Why is a nasal cannula also placed on the patient? Do we turn the nasal cannula on? What FIO, is need for a High- Altitude Simulation Test? 9) Give me a few examples of a hypoxic environment. 10) For patients whom require long-term oxygen therapy. during a flight, what increase above their normal prescribe oxygen flow will ensure that they will...
#5&6 5. Explain why we use expected earnings rather than last period's earnings in the PE multiple approach to earnings. 6. What is the rationale for the price to sales multiple when estimating the intrinsic value of a stock?
e. Consider the multiple regression model y X 3+E. with E(e)-0 and var (e) ơ21 Assume that ε ~ N(0 σ21), when we test the hypothesis Ho : βί-0 against Ha : βί 0 we use the t statistic with n-k-1 degrees of freedom. When Ho is not true find the expected value and variance of the test onsider the genera -~ 0 gains 0 1S not true find the expected value and variance of the test statistic. e. Consider...