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Calculate historical var and parametric var

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Reference no: EM132840732

1a. Pick a stock. Collect one year (daily) of historical data. Calculate daily returns (percent) and P&Ls (dollar). Calculate mean, standatd deviation, skewness, and kurtosis of returns and P&Ls. Assume $1 million invested in the stock. Calculate 5% historical VaR and parametric VaR.

1b. Pick another stock. Repeat 1a. Compute the covariance between the two stocks (under return and P&L). Invest $500,000 in each stock (need to calculate how many shares bought for each stock). Calculate 5% historical VaR and parametric VaR.

Reference no: EM132840732

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