| University | National University of Singapore (NUS) |
| Subject | Derivatives and Risk Management |
- Calculation and discussion of the one-day 95%-Value at Risk of each stock in your portfolio using a historical simulation approach. That means, if you have four stocks in total, you need VaR for each.
- Calculation and discussion of the five-day 99%-Value at Risk of your portfolio using a model- a building approach. Show key steps of workings.
- Calculation and discussion of the five-day 99%-Value at Risk of your portfolio using a historical simulation approach.
- Discuss the performance of VaR in (b) and (c), by comparing your calculated VaR results and the portfolios’ actual five-day returns.
- Calculation and discussion of the 95%-Expected Shortfall (CVaR) of your portfolio using a historical simulation approach.
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