Quantative Risk Management In R

profileMurthy

*Show all codes so I can run them myself*






1. The probability density function (pdf) for daily profits at Rectangle Inc. can be described by the following piecewise function (see figure below), 






a)What is the one-day 95% VaR for Rectangle Inc.? 






b)What is the one-day 95% ES for Rectangle Inc.? 















2. Please follow the following instructions. The instructions indicate how to download daily stock price of Microsoft. Inc. from 2005-01-02 to 2018-12-31 from Yahoo! Finance and how to convert it to daily log return.

  • 7 years ago
  • 20
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