Discuss the risk profile of portfolio

Reference no: EM133289283

Assignment:

Risk identification:

In this part, you should discuss the risk profile of your portfolio. Use daily historical stock price of AMAZON stock between 1 October 2017 and 31 August 2022 to calculate the VaR of your Portfolio.

USING MARKETWATCH (historical quotes)

The discussion should include the following points:

a. Calculation and discussion of the one-day 5%-Value at Risk (95% confidence level) of each stock in your portfolio using historical simulation approach. That means, if you have four stocks in total, you need VaR for each.

b. Calculation and discussion of the five-day 1%-Value at Risk (99% confidence level) of your portfolio using model- building approach. Show key steps of workings.

c. Calculation and discussion of the five-day 1%-Value at Risk (99% confidence level) of your portfolio using a historical simulation approach.

d. Discuss the performance of VaR in (b) and (c), by comparing your calculated VaR results and the portfolios' actual five-day returns (Thursday, 15 Sep 2022 - Wednesday 22 Sep 2022).

e. Calculation and discussion of the 5%-Expected Shortfall (CVaR) (95% confidence level) of your portfolio using a historical simulation approach.

Reference no: EM133289283

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