Question: Can you please provide steps / plan how to begin this please. Assuming you were employed as a risk analyst for a UK investment bank.
Can you please provide stepsplan how to begin this please.
Assuming you were employed as a risk analyst for a UK investment bank. On Aug.
you selected four listed companies stock A stock B stock C stock D from FTSE index
for the bank. The portfolio is valued at million that includes million on
stock A million on stock B million on stock C and million
on stock D The senior management asks you to examine the risk of this portfolio The values
are measured in pounds
Required:
Download daily historical stock price data of those four companies selected with
other relevant data upto Aug. Estimate the oneday and the fiveday Value at
Risk with a confidence level of for the portfolio using historical simulation method
respectively.
Assuming you were employed as a risk analyst for a UK investment bank. On Aug.
you selected four listed companies stock A stock B stock C stock D from FTSE index
for the bank. The portfolio is valued at million that includes million on
stock A million on stock B million on stock C and million
on stock D The senior management asks you to examine the risk of this portfolio The values
are measured in pounds
Required:
Download daily historical stock price data of those four companies selected with
other relevant data upto Aug. Estimate the oneday and the fiveday Value at
Risk with a confidence level of for the portfolio using historical simulation method
respectively.
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