Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 4, Page 180
Exercise 10

Suppose x is a time series with −1x = 100.

Solution

1. By the definition [4.45] for simple returns

[s1]

Rearranging this, we solve for 0x:

[s2]

[s3]

[s4]

2. By the definition [4.46] for log returns

[s5]

Rearranging this, we solve for 0x:

[s6]

[s7]

[s8]
 

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