Exercise

# Computing VaR for weekly losses

In this final exercise, you will test your understanding by computing an empirical estimate of VaR for weekly losses in the `returns`

data. You will have to repeat the analysis of the previous exercise, but this time, you need to:

- Find the weekly log-returns of
`returns`

using`apply.weekly()`

. - Use these weekly log-returns to simulate the losses of the two risk factors through
`lossop()`

.

Note that the `lossop()`

function has been adjusted in your workspace so that it correctly calculates the losses and gains of the option portfolio for a one-week time horizon. It still takes in arguments as follows:

```
lossop(xseries, S, sigma)
```

Your challenge is to compute the 99% VaR for weekly changes in value of the European call option in `returns`

when the current stock price is `S = 120`

and the current volatility is `sigma = 0.25`

. What is the correct answer?

Instructions

**50 XP**

##### Possible Answers

- 0.256
- 0.194
- 0.158
- -0.203
- -0.245