FINS5542代做、代写Java/c++设计程序

日期：2024-07-10 11:12

FINS5542 Assignment 2

Date Due: 11pm 12 July, with electronic submission via the course

website.

1. In this question we will conduct a backtesting exercise for the 1997

year. For each trading day in 1997 we must graph the 99% VaR that

was computed 10 trading days before and we must also graph the

realised loss in the portfolio that occurs over this same period.

One is required to produce two graphs. The first graph should be the

backtesting of the VaR method under normality. The second graph

should be the backtesting of the VaR method under historical sim-

ulation of daily changes in prices. Finally, one should interpret the

findings from both of these graphical displays, (noting presentation

quality is important).

For these exercises, assume that we hold a portfolio of 15 assets,

namely aan2, aan3, aan4, aan5 aan6, aan7, aan8, aan9, aan10, aan11,

aan14, aan15, aan17, aan18 and aan19 where $2,000,000 dollars was

the value of our holdings in each of the stocks ten trading days before

the first trading day in 1997. i.e. On 17 December 1996, the value of

our portfolio is $30,000,000. Also assume that the number of shares

we hold in each of these stocks does not change over the time frame

of our back-testing exercise. Finally, in computing the VaR estimates

one should use the last 800 changes in prices. The data is located on

the fins5542 Moodle page. See last page, for variable names.

In addition to printing out the Excel graphs, one should also print out

the Ox computer code.

[20 marks (for each method, 2 marks for coding, 4 marks for graph-

ing, 4 marks for write-up) ]

1

2. In this question we will conduct a backtesting exercise for a portfolio

of 6 stocks for the 2021 year. For each trading day in 2021 we must

graph the 99% VaR that was computed 10 trading days before and we

must also graph the realised loss in the portfolio that occurs over this

same period.

One is required to produce two graphs. The first graph should be the

backtesting of the VaR method under normality. The second graph

should be the backtesting of the VaR method under historical sim-

ulation of daily changes in prices. Finally, one should interpret the

findings from both of these graphical displays, (noting presentation

quality is important).

For these exercises, assume that $10,000,000 dollars was the value of

our holdings in each of the following 6 U.S. companies, Coca-Cola

Co., Home Depot Inc., Intel Corp., McDonald  s Corp., Walt Disney

Co. and Walmart Inc., (sourced from the CRSP database), ten trading

days before the first trading day in 2021. Also assume that the number

of shares we hold in each of these stocks does not change over the time

frame of our back-testing exercise. Finally, in computing the VaR

estimates one should use the last 900 changes in prices.

In addition to printing out the Excel graphs, one should also print out

the Ox computer code.

[30 marks (for each method, 3 marks for coding, 3 marks for data

description, 4 marks for graphing, 5 marks for write-up) ]

3. Discuss, in less than 1200 words, the limitations of VaR and Ex-

pected Shortfall, relating these to the results you obtained above in

questions 1 and 2.

Please include appropriate references, with a reference section. Both

content and writing quality are key criteria of equal importance.

[30 marks]

2

Variable Name

aan1 CISCO SYSTEMS INC

aan2 MICROSOFT CORP

aan3 INTEL CORP

aan4 TEXAS INSTRUMENTS INC

aan5 SPRINT CORP

aan6 AMGEN INC

aan7 INTERPUBLIC GROUP COS INC

aan8 MELLON BANK CORP

aan9 WARNER LAMBERT CO

aan10 BRISTOL MYERS SQUIBB CO

aan11 ENRON CORP

aan12 GENERAL ELECTRIC CO

aan13 TIME WARNER INC

aan14 EXXON CORP

aan15 DELL COMPUTER CORP

aan16 AMERICAN EXPRESS CO

aan17 SUN MICROSYSTEMS INC

aan18 CORNING INC

aan19 FORD MOTOR CO DEL