Part A – Market Risk
First you have to choose five banking sector stocks and calculate VaR using variance -covariance method, historical simulation method, Monte Carlo and conditional var. VaR shows the expected loss of a portfolio.
5 stocks , equally weighted (20% each) and amount is 1,000,000.
You’ll calculate it and you’ll also talk about the advantages and limitations of these methods and show comparison.
For calculation you need daily prices of stocks (you can take from Yahoo finance) for 1 year or for 5 year .
At the end you’ll write for new developments in VaR techniques.
Word count for part A is 1,200 words
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