financial institution management

This project was successfully completed by priyal1997 for $60 AUD in 2 days.

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Project Budget
$10 - $30 AUD
Completed In
2 days
Total Bids
Project Description

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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