financial institution management

  • Status Completed
  • Budget $10 - $30 AUD
  • Total Bids 6

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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