Reference no: EM131459963
Write a three page paper along with the applicable spreadsheet and files showing calculations
Financial Derivatives & Risk Management
Value at Risk (VaR) Assignment
Description: The purpose of this homework assignment is to demonstrate an understanding of VaR measures using real data.
Estimating and interpreting VaR for individual stocks
With the stock, Adobe Systems Incorporated (ADBE), which is a non-dividend paying firm, use the 501 trading day window from April 8, 2015 - March 31, 2017 to estimate VaR (Value at Risk).
Three PowerPoint slides describing VaR is attached including nonparametric and parametric single stock concepts. Two additional VaR spreadsheets are attached showing an example of VaR calculations using the stock for Level 3 Communications Inc. (LVLT) from Jan 7, 2013 - Dec 31, 2014. The due date for this homework assignment is 9pm on Tuesday, April 11, 2017.
In your report for Adobe Systems Incorporated (ADBE) you should:
1. Find the 1% and 5% 10-day VaR using both parametric and non-parametric measures assuming approximately $1 million invested.
2. Compare the results of the parametric and non-parametric measures and draw conclusions about why they are similar or different in a short write-up.
Write-up requirements (3 pages maximum excluding figures and charts):
Techniques and data: In this section, explain what you did, what you are using for the data, and anything else necessary to understand the results you present in the next section. The purpose is to demonstrate your understanding of the topic. It isn't necessary to repeat back the lecture, and you can assume the reader has a passing understanding of statistics and VaR.
Results and analysis: In this section, you will present what you found. You must describe your results, provide pertinent charts and tables, and draw conclusions about these results. This section is important in demonstrating that you understand the implications of your calculations and can draw appropriate conclusions from financial data.
Other written requirements:
All figures and tables should be included in the appendix of the actual document.
Format requirements:
- 3 pages (double-spaced) excluding the appendix.
- 1" margins all around with 12 point Times New Roman font
- The accompanying appendix and spreadsheets should also be presented nicely.
Attachment:- Value at Risk.zip