Market Risk Estimation

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Market Risk Estimation

Part B: Market Risk Estimation

  1. You must select 5 corporations of your choice from the same industry. Assume that the analysis is performed on October 1st, 2020. All the data you need to collect must be consistent with this date.

Compute VaR of your portfolio using Variance-Covariance, Historical Simulation and Monte-Carlo methods. Time horizon 1 year. Confidence interval 99%. Calculate the Expected Shortfall. Present your results and discuss the findings.  (750 words, 20 marks)