1. Use historical simulation to measure the Value at Risk number for the bank over the next trading
day, at a confidence level of 99%.
2. Estimate a 99 percent confidence interval for the VaR you have calculated using historical
3. Calculate the variance co-variance matrix and the correlation matrix for the data given. Show
these on the spreadsheet. Calculate the VaR number using the analytic (RiskMetrics) approach.
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5 freelancers are bidding on average $61 for this job
Here my quote is only for excel work . I have experience and knowledge in VaR calculation. Kindly google up RAISEQ to know my services in details. regards, raiseq
I would be glad to talk about this project with you. I can help you. Talk about your project what are the other things that I can do to satisfy you for your project?