新的投资组合包括苹果，微软，IBM，摩根大通和高盛的五只股票，初始头寸

The new portfolio include Apple, Microsoft, IBM, JP Morgan Chase and Goldman Sachs five stocks, the initial position of $ 100,000 each. Its price is adjusted by dividing CFACPR (adjusted cumulative price factor) obtained according to the unadjusted price. VaR is also calculated by the daily changes in the portfolio's value, and selected in 2008 included 253 trading days. Thus, at 99% confidence level, the estimated 10-day VaR of just over 1% possibility, equivalent to 2.53 days in 2008. However, according to the normal and reverse VaR test calculations, shown in Figure 3.1. And violations summarized in Table 3.1, the number of days is higher than the VaR estimate of the actual loss is much more than 2.53.

The new portfolio includes five stocks from Apple, Microsoft, IBM, JPMorgan Chase and Goldman Sachs, with an initial position of $100,000 each. Its adjusted price is based on the unadjusted price divided by CFACPR (cumulative factor for adjusted prices). The value at risk is also calculated from the daily value change of the portfolio and is selected for 2008, which contains 253 trading days. Thus, at a 99 per cent confidence level, the estimated 10-day VaR is only more than 1 per cent likely, equivalent to 2.53 days in 2008. However, based on the VaR calculations under normal and reverse tests, figure 3.1 shows. As well as the violations summarized in Table 3.1, the actual loss of the number of days above the VaR estimate is well over 2.53.

The new portfolio includes five shares of apple, Microsoft, IBM, JPMorgan and Goldman Sachs, each with an initial position of $100000 Its adjusted price is calculated by dividing the unadjusted price by cfacpr (cumulative factor of adjusted price) VaR is also calculated from the daily value change of the portfolio, and 2008 with 253 trading days is selected Therefore, at a 99% confidence level, the estimated 10 day VaR is only more than 1%, equivalent to 2.53 days in 2008. However, according to the VaR calculation under normal and reverse test, as shown in Figure 3.1 As well as the violations summarized in Table 3.1, the number of days when the actual loss is higher than the VaR estimate is much more than 2.53.<br>