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Project : Value at Risk (VaR)
In this project you will calculate Value at Risk based on Historical Simulation and based on Model Building.
You have recently started an investment company. You have invested in your stock (from Project 1) and in the Dow Jones Industrial Average (by buying shares of DIA ETF). You portfolio size is $1,000,000 and you have invested 60% in your stock and 40% in DIA.
a) Calculate VaR of your portfolio for the next 10 days with 99% confidence.
b) Basel rules dictate to keep 3 times this amount. Therefore, how much cash must be kept in your company for the next 10 days in order to satisfy the Basel requirement?
Your final answer should be the average of the two VaR values.
Include the printouts of the relevant sections of the Excel files. Provide a paragraph of summary of what you have done.
Attachment:- Project sheet.rar
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