Assume that you constructed a portfolio 97 days back ( 97 observations of daily returns). Use the following data to compute the7% VaR and the7% ES. The bottom 10 observations in our data series are as follows. These observations are already sorted from highest returns to lowest returns.
Observation Portofolio Return (%)
1 -2
2 -3
3 -4
4 -8
5 -9
6 -11
7 -16
8 -17
9 -22
10 -23
