IN6011 Risk and Derivative Markets-VaR method appropriately

Task:

1. Choose a stock and download 2yrs of price data (or choose a file from the data folder).

2. Convert the price data to returns and carry out some preliminary analysis to understand the characteristics of the return data series.

3. Explain the importance of understanding the data characteristics

4. Use one of the three VaR risk modelling techniques covered in class to assess the risk of the stock.

5. Include a graphical representation.

6. Discuss the method chosen, identifying its key characteristics, assumptions, benefits and weaknesses.

7. Clear approach to preliminary analysis – demonstrates understanding

8. Applies VaR method appropriately

9. Discussion on risk models

10. Demonstrates understanding Presentation, language, referencing, bibliography

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