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A bank invests € $1.000.000$ in a hedge fund. The last 500 daily returns can be taken from a database. The worst 20 returns are

-4.58 -2.95 -2.95 -2.93 -2.17 -2.08 -2.06 -1.98 -1.94 -1.89 -1.83 -1.75 -1.73 -1.56 -1.54 -1.52 -1.45 -1.37 -1.17 -0.89

I want to determine the ten-day 99%-VaR using historical simulation.

According to my course material I need to determine the 5-highest loss and multiply it by $\sqrt {10}$.

Do I even need the € $1.000.000$ from the task?

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    $\begingroup$ These seem to be % returns? To get the VaR as € amount, you multiply the 5th worst return 2.17% by €1mil (and also 10-day horizon). $\endgroup$ – Dimitri Vulis Nov 13 '20 at 16:02
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    $\begingroup$ Your 5th highest loss (scaled by $\sqrt{10}$) will give you the percentage loss at the 99th percentile over a 10-day horizon. If you want to convert this to a "Eur value", you need to multiply by the 1 million eur notional. $\endgroup$ – Jan Stuller Nov 13 '20 at 16:03
  • $\begingroup$ Ahh that makes sense. Thanks! $\endgroup$ – obvth213 Nov 13 '20 at 16:13

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