University | The Royal Melbourne Institute of Technology (RMIT) |
Subject | BAFI1026: Derivatives and Risk Management |
BAFI1026 Derivatives and Risk Management Report, RMIT, Singapore: Industry consideration and/or diversification, specific stock’s strengths/positive prospects
Portfolio construction:
Present your initial portfolio, including information on why you have invested in the stocks in your initial portfolio (three stock selections for Portfolio).
- The overall market and macroeconomic condition (3 marks)
- Industry consideration and/or diversification, specific stock’s strengths/positive prospects
- Risk identification:
In this part, you should discuss the risk profile of your portfolio. Use daily historical stock price between 1 October 2017 and 31 August 2022 to calculate the VaR of your Portfolio. The discussion should include the following points:
- Calculation and discussion of the one-day 5%-Value at Risk (95% confidence level) of each stock in your portfolio using a historical simulation approach. That means, if you have four stocks in total, you need VaR for each. (8 marks)
- Calculation and discussion of the five-day 1%-Value at Risk (99% confidence level) of your portfolio using model- a building approach. Show key steps of workings. (3 marks)
- Calculation and discussion of the five-day 1%-Value at Risk (99% confidence level) of your portfolio using a historical simulation approach. (3 marks)
- Discuss the performance of VaR in (b) and (c), by comparing your calculated VaR results and the portfolios’ actual five-day returns (Thursday, 15 Sep 2022 – Wednesday 22 Sep 2022). (3 marks)
- Calculation and discussion of the 5%-Expected Shortfall (CVaR) (95% confidence level) of your portfolio using a historical simulation approach.
Buy Custom Answer of This Assessment & Raise Your Grades
Enhance your BAFI1026: Derivatives and Risk Management Report with our comprehensive report-writing helpers. At MY Assignment Help SG, we offer expert guidance and support to help you excel in this complex subject. Our team of experienced professionals ensures that your report is meticulously crafted, delivering insightful analysis and accurate information. Trust us and visit MY Assignment Help SG today to achieve your academic goals.
- Business Accounting & Finance – (VM) – A3 Assignment, UOM, Singapore
- HRM3010S: Managing People At Work, Assignment, UCD, Singapore
- HFS351: Safety Management and Audit, End-of-Course Assessment, SUSS, Singapore
- HFSY217: Emergency Preparedness and Response Planning, TMA (Tutor-Marked Assignment), SUSS
- CMM315: TMA (Tutor-Marked Assignment) – Peacebuilding and Security, SUSS, Singapore
- Harley Davidson utilized different entry mode strategies in pursuit of internationalization: Sustainable, Assignment, UoN, Singapore
- Nursing Patients With Chronic Illness, Assignment 3, LTU, Singapore: Jason Bundhoo is a 42-year-old car driver from Triolet
- DSM: R for Data Science, Coursework 2, UOL, Singapore: In this coursework assignment you should return to this dataset and perform an appropriate investigation into building a statistical model
- DSM120: Financial Data Modelling, Coursework 1, UOL, Singapore
- Data Science Final Project, Coursework 1, UOL, Singapore: Your first formal coursework submission is your full project proposal, This sets out very clearly what your Data Science Project will be, and also how you will conduct the project
UP TO 15 % DISCOUNT