Imagine you are a high level finance student trying to create a Basel Traffic Light graph on excel. You have the number of exceedances for the following VaR models: The normal rolling window 252 and 66 days, the EWMA (0.94), the historical simulation (not rolling window) 252 and 66 days. Can you please guide me in creating this graph on excel. Keep in mind, the models that require more than 252 days should be calculated starting from day 253 (professor's instruction). The current dates goes from newest (top) to oldest (bottom).

Essentials Of Business Analytics
1st Edition
ISBN:9781285187273
Author:Camm, Jeff.
Publisher:Camm, Jeff.
Chapter6: Data Mining
Section: Chapter Questions
Problem 17P
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Imagine you are a high level finance student trying to
create a Basel Traffic Light graph on excel. You have the
number of exceedances for the following VaR models:
The normal rolling window 252 and 66 days, the EWMA
(0.94), the historical simulation (not rolling window) 252
and 66 days. Can you please guide me in creating this
graph on excel. Keep in mind, the models that require
more than 252 days should be calculated starting from
day 253 (professor's instruction). The current dates goes
from newest (top) to oldest (bottom).
Transcribed Image Text:Imagine you are a high level finance student trying to create a Basel Traffic Light graph on excel. You have the number of exceedances for the following VaR models: The normal rolling window 252 and 66 days, the EWMA (0.94), the historical simulation (not rolling window) 252 and 66 days. Can you please guide me in creating this graph on excel. Keep in mind, the models that require more than 252 days should be calculated starting from day 253 (professor's instruction). The current dates goes from newest (top) to oldest (bottom).
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