Answer to Question #169372 in Macroeconomics for james

Question

chose 10 stocks and their 1 year historical daily prices . form a portifolio ($1 million ) with chosen shares.

1. Historical VaR (P&L )

a) Locate the 1% ( or 99% depending on how much you look at it ) position in the distribution ( for a 250 observation distribution 1% is roughly the 3rd observation after sorting).

b) (optional) apply 0.95 decay.

2. Parametric VaR (P&L)

a) compute variance - covariance matrix

b) compute portfolio stardard deviation

b) 1% is 2.326 times stardard deviation

3. component VaRs (10)

4. Margin VaRs (10) - by removing 1 stock

https://faculty.fordham.edu/rchen/teach.html 

Answer 1

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