VAR (Value At Risk)
5103
£250(approx. $313)
- Posted:
- Proposals: 1
- Remote
- #21772
- Archived
Description
Experience Level: Expert
Value at Risk (VaR) is a financial concept introduced in the mid-1990s to measure what is known as market risk - an important constituent of the risk that banks (and other financial institutions) face in their daily trading activities. It is not a difficult concept, intuitively or mathematically (indeed, this is a large component of its almost universal appeal), but it is a powerful one and sometimes still widely misunderstood. The projects detailed below focus on different aspects of the measurement of this type of risk.
Data Download 5-year, daily historic equity prices for 12 UK shares (preferably ten from the FTSE100, these should therefore be frequently traded) • This can be downloaded into the initial spreadsheet from the Yahoo Finance website for development trial purposes however the stocks to be used are attached in the spreadsheet included
Value at risk using the historical approach
1. Estimate the VaR of an equity portfolio of 12 UK shares using the historical technique and various historical periods (1, 2, 3 and 5years). Use Excel VBA to create macros to facilitate this calculation. Determine which historical period estimates the \"best\" VaR.
2. Estimate the VaR of an equity portfolio comprising 1, 2, 5 and 10 UK shares using the historical technique and a single historical period (say 3y). Use Excel VBA to create macros to facilitate this calculation.
3. Estimate the VaR of an equity portfolio comprising 12 UK shares using the historical technique, a single historical period (say 3years), a single confidence interval (say 95%, and assume a one-tailed normal distribution) and various \"unwind\" periods (1day, 2days, 5days and 10days). Use Excel VBA to create macros to facilitate this calculation.
Stocks to be used are in the included attached
Data Download 5-year, daily historic equity prices for 12 UK shares (preferably ten from the FTSE100, these should therefore be frequently traded) • This can be downloaded into the initial spreadsheet from the Yahoo Finance website for development trial purposes however the stocks to be used are attached in the spreadsheet included
Value at risk using the historical approach
1. Estimate the VaR of an equity portfolio of 12 UK shares using the historical technique and various historical periods (1, 2, 3 and 5years). Use Excel VBA to create macros to facilitate this calculation. Determine which historical period estimates the \"best\" VaR.
2. Estimate the VaR of an equity portfolio comprising 1, 2, 5 and 10 UK shares using the historical technique and a single historical period (say 3y). Use Excel VBA to create macros to facilitate this calculation.
3. Estimate the VaR of an equity portfolio comprising 12 UK shares using the historical technique, a single historical period (say 3years), a single confidence interval (say 95%, and assume a one-tailed normal distribution) and various \"unwind\" periods (1day, 2days, 5days and 10days). Use Excel VBA to create macros to facilitate this calculation.
Stocks to be used are in the included attached
Tarrick Q.
0% (0)Projects Completed
1
Freelancers worked with
1
Projects awarded
100%
Last project
24 May 2010
United Kingdom
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