Exercise

Changing VaR and CVaR quantiles

VaR quantiles often used are 90%, 95%, and 99%, corresponding to the worst 10%, 5%, and 1% of cases respectively. These same quantiles are also often used for CVaR. Note that CVaR will always be a more extreme estimate when compared with VaR for the same quantile.

Compare the VaR vs CVaR values for USO ETF returns below.

Returns data is available (in percent) in StockReturns_perc. We also calculated var_95, cvar_95, var_99, cvar_99 and defined a function plot_hist() that compares several quantiles for you.

Instructions

100 XP

Calculate the VaR(90) for StockReturns_perc and save the result in var_90.
Calculate the CVaR(90) for StockReturns_perc and save the result in cvar_90.