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BAFI1026 Derivatives and Risk Management Report, RMIT, Singapore: Industry consideration and/or diversification, specific stock’s strengths/positive prospects
University The Royal Melbourne Institute of Technology (RMIT)
Subject BAFI1026: Derivatives and Risk Management
Posted on: 24th May 2023

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).

  1. The overall market and macroeconomic condition (3 marks)
  2. Industry consideration and/or diversification, specific stock’s strengths/positive prospects
  3. 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:

  1. 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)
  2. 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)
  3. Calculation and discussion of the five-day 1%-Value at Risk (99% confidence level) of your portfolio using a historical simulation approach. (3 marks)
  4. 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)
  5. Calculation and discussion of the 5%-Expected Shortfall (CVaR) (95% confidence level) of your portfolio using a historical simulation approach.
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