The task is to collect daily adjusted closing prices for the last five years (the closing prices of Dec 2021 must be included) for 12 companies of choice, making sure that the period fully covers five years. Data need to be collected from official sources either provided by the University (Bloomberg, DataStream) or web-based (Yahoo Finance). In addition to stock prices, each student is required to collect adjusted daily closing prices for the S&P500 index. The list of stocks will form a portfolio and each student can freely choose the weighting of each stock in the portfolio, except equal weighting. The report should include the following:

1. Relevant descriptive statistics of the data set for the 12 equities and the market index.
2. An estimation of the 1-day VaR at 95% and 99% confidence levels for the portfolio with the chosen weights.
3. The 5-days VaR at 95% and 99% confidence levels for the portfolio with the chosen weights.
4. The estimation of expected shortfall (CVaR) for both VaRs in 2 and 3.

The VaR estimation must be performed using both the variance-covariance method as well as the historical simulation method. Where suitable, students may include graphs to support their argument. Students are required to fully explain the procedure and estimation methods, using references from the academic literature and regulation, rather than textbooks.

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Step 1 of 1 Subordinates market The subordinates market alludes to the monetary market for monetary ... View the full answer