Compute the historical value-at-risk

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Using historical data for the five companies and assuming the value of your portfolio is $1million, compute the followings:

1. The 90% and the 95% historical Value-at-Risk for each of the 5 stocks.

2. The 90% and the 95% historical Expected Shortfall for each of the 5 stocks.

3. Assume that the data are normally distributed what is the potential losses in 1 month at 99% percent confidence level for each of the 5 stocks.

4. Assume that the data are normally distributed, what is the expected losses in 1 month at 99% percent confidence level for each of the 5 stocks.

5. Assume short-selling is allowed, what is the potential lossesin 1 month at 99% percent confidence level for each of the 5 stocks.

6. Assume short-selling is allowed, what is the average lossesin 1 month at 99% percent confidence level for each of the 5 stocks.

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Reference no: EM132271249

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len2271249

3/31/2019 10:52:27 PM

If you fail to show the commands for each step you will lose at least 5 points. This is a preparation for the final.

len2271249

3/31/2019 10:52:18 PM

Instructions: 1. You submit a soft- and a hardcopy of your work. 2. You can work as a group of two. 3. The assignment is due 4. The hardcopy is aimed not to report data but results. If the results are not organized very well you will lose points. 5. Write down each specific step(s) for calculating VaR and ES. 6. Write down the function used for calculation. Assume that I do not know how to do the calculation and I will use your command(s) as a guide. For example: Suppose that I want to calculate the covariance of 2 arrays, then the command that I need to show is:

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