The abu dhabi security exchange

Assignment Help Financial Management

Reference no: EM131359918

1- Select any FIVE assets listed on the Abu Dhabi Security Exchange

2- Daily price data of the assets should be considered for the 6 months ONLY ( Approximately 180-190 observations)

For Part 1 of your assignment

3- You will calculate Value at Risk ( VaR) for 5 assets individually. Make sure that for comparison and discussion purpose, your probability choice and number of day in a month are different for each asset. Once you have calculated the VaR for Individual assets, make sure to cover the following points in discussion

• How change in a probability and level of confidence interval change the assets value position?

• How early day or later day in a month effect the value composition of your selected assets?Evaluate how expected loss level is caused by the selected level of confidence, minimum returns or choice of day selection in a month?

For Part B of the assignment Use Historical Simulation Approach (HSA) to determine the expected level of loss of in a portfolio composition with different "level of uncertainty" and different level of "Historical VaR at position".

Reference no: EM131359918

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