Portfolio Market Risk Analysis Report

Portfolio Market Risk Analysis Report 1) Introduction The manifest topic attempts to saloon the market risk of a three asset portfolio. In this context, several quantitative techniques and Value at Risk (var) bringing close together methods argon use. VaR is a method of assessing risk that uses shopworn statistical techniques used routinely in other practiced fields. Specifically, VaR summarizes the beat loss over a target horizon that go forth not be exceeded with a disposed(p) level of confidence. In this report we calculate VaR using the variance/covariance approach (Delta Normal), the historic Simulation method and the four-card monte Carlo Simulation method. In particular, we localise on implicit earlier than telling form of VaR. The absolute VaR represents the worst anticipate losings relative to the initial value of an asset or a portfolio, while the relative VaR represents the worst losses relative to the mean evaluate value of an asset or a portfolio. The exa seconded portfolio is composed by three assets of NASDAQ index: a ancestry of Apple (AAPL), a stock of Google (GOOG) and a stock of Microsoft (MSFT). Daily closing harms of the assets are considered during the stay from January 2008 to December 2010. Specifically, the seek consists of 770 observations.

The results of the three estimation methods are comparatively discussed, as fountainhead as the validation of the models in the form of backtesting. 2) Data Analysis The side by side(p) card presents the basic statistics of daily prices and echos of both the three assets and the portfolio during the examined period (01/02/2008-12/31/2010). Table 1: Basic statistics | M ean| min| sludge| St.dev.| | Price| retur! n| price| return| price| return| price| return| AAPL| 182.84| 0.00| 78.2| -0.197| 325.47| 0.13| 65.85| 0.026| GOOG| 479.88| -0.00| 257.44| -0.122| 685.33| 0.18| 92.71| 0.024| MSFT| 25.56| -0.00| 15.15| -0.124| 35.37| 0.17| 4.00| 0.023| Portf.| 688.29| 0.00| 357.58| -0.137| 972.2|...If you want to get a unspoiled essay, order it on our website: OrderEssay.net

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