Question: Hello! I need help on this question, could you please show me the calculations too. Thank you very much!!! initial Portfolio A & B are
Hello! I need help on this question, could you please show me the calculations too. Thank you very much!!!
initial Portfolio A & B are created on 16 September 2021 (RISK MANAGEMENT)
Portfolio A
Amazon.com Inc (AMZN)
No. of Shares:64 Basis(Price):$3475.79
Apple Inc. (AAPL)
No. of shares:1191 Basis(Price):$149.03
Portfolio B
Tesla Inc. (TSLA)
No. of Shares:386 Basis(Price):$755.83
Moderna Inc. (MRNA)
No. of Shares:797 Basis(Price):$434.46
NVIDIA Corp. (NVDA)
No. of Shares:699 Basis(Price):$223.41
Microsoft Corp. (MSFT)
No. of Shares:675 Basis(Price):$304.82
Questions:
On Friday, 24 September 2021, use daily stock prices since 1st October 2017 to calculate the VaR. The discussion should include the following points:
1)Calculation and discussion of the five-day 99%-Value at Risk of your portfolio A using model- building approach.
Calculation and discussion of the five-day 99%-Value at Risk of your portfolio B using a historical simulation approach.
2) Discuss the performance of VaR based on your calculation approaches in (a) and (b), VaR results and actual five-day returns (Monday, 27th September 2021 - Friday, 1 October 2021).
Portfolio A & B are my initial portfolio with the number of shares and price bought at stated. Thank you.
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