Electrical Engineering

All calculations must be shown


Calculate the VaR for your gas assets – suppose you have $5 million in gas asset as of Friday July 17, 2020.

a. Calculate 90% and 95% one-day VaR using historical simulations – use spot gas prices from the last 301 trading days. You may obtain the Henry Hub spot gas prices at the EIA site:  http://www.eia.gov/dnav/ng/ng_pri_fut_s1_d.htm (Links to an external site.)

b. What are the 10-day and 60-day VaR at these confidence levels?

c. Calculate the 1-day and 10-day VaR using the model building approach.