I need to calculate the component VaR with this data using the norm _ weight for the
Question:
I need to calculate the component VaR with this data using the normweight for the portfolio weight and the return series for the returns of each security. This is a sample dummy ?data so it only contains return ?to return ?the real dataset will contain return ?to return ?The component VaR is defined as:
dollar component VaR $VaR ?NZalpha sigma ?sum of i ?NZalpha wicovmatrix wsigma ?where NZ is the normal distribution and Z score and alpha is at ?level, w is the weight, i is at ith security. sigma is the volatility.
please give the solution in Python. the expected solution should have component var value for each security
Product Month Price Quantity ollar_Valu Daily_Vol Total_Value Norm_Weight return_0 return_1 return_2 return_3 return_4 |return_5 return_6 index_col product_type date 2023-12 0.6 5TC_C Dec 23 cape 2023-12 2023-01 0.6 5TC C Jan 23 cape 2023-02 0.6 5TC C Feb 23 cape 0.6 5TC_C Mar 23 cape 2023-03 2023-04 0.6 5TC_C Apr 23 cape 2023-05 0.6 5TC_C May 23 cape 2023-06 0.6 5TC C Jun 23 cape 0.6 5TC C Jul 23 cape 2023-07 2023-01 2023-02 2023-03 2023-04 2023-05 2023-06 2023-07 2023-08 2023-09 2023-10 2023-11 2024-12 2023-12 2023-08 0.6 5TC_C Aug 23 cape 2023-09 2023-10 0.6 5TC_C Sep 23 cape 0.6 5TC_C Oct 23 cape 0.6 5TC_C Nov 23 cape 0.6 5TC_C Dec 24 cape 2023-11 2024-12 2023-12 2023-01 0.6 4TC_P Dec 23 pana pana 0.6 4TC P Feb 23 pana 0.6 4TC P Jan 23 2023-01 2023-02 2023-02 2023-03 0.6 4TC P Mar 23 pana 2023-03 2023-04 2023-05 2023-04 2023-05 2023-06 2023-06 2023-07 2023-08 2023-09 2023-10 2023-11 2024-12 C C C C C C C C C C C C C P P P P P P P P P P P P P 23 24 25 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 10 0 0 0 0 0 0 0 0 0 0 0 0 0 10 5 5 5 5 5 5 5 5 5 5 5 150 0 0 0 0 0 0 0 0 0 0 0 0 0 160 160 160 160 160 160 160 160 160 160 160 160 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 1478000 0.219891746 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 0.310216509 1478000 0.037212449 1478000 0.042963464 1478000 0.044654939 1478000 0.044654939 1478000 0.044654939 1478000 0.042963464 1478000 0.042963464 1478000 0.042963464 1478000 0.042286874 1478000 0.042286874 1478000 0.042286874 0 0 0 0 0 0 0 0 0 0 0 0 0 -0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 4TC_P Apr 23 pana 0.6 4TC P May 23 pana 0.6 4TC P Jun 23 pana pana 0.6 4TC_P Aug 23 pana 0.6 4TC P Jul 23 0.6 4TC P Sep 23 pana 0.6 4TC P Oct 23 pana 0.6 4TC_P Nov 23 pana 0.6 4TC_P Dec 24 pana 2023-07 2023-08 2023-09 2023-10 2023-11 2024-12 Product Month Price Quantity ollar_Valu Daily_Vol Total_Value Norm_Weight return_0 return_1 return_2 return_3 return_4 |return_5 return_6 index_col product_type date 2023-12 0.6 5TC_C Dec 23 cape 2023-12 2023-01 0.6 5TC C Jan 23 cape 2023-02 0.6 5TC C Feb 23 cape 0.6 5TC_C Mar 23 cape 2023-03 2023-04 0.6 5TC_C Apr 23 cape 2023-05 0.6 5TC_C May 23 cape 2023-06 0.6 5TC C Jun 23 cape 0.6 5TC C Jul 23 cape 2023-07 2023-01 2023-02 2023-03 2023-04 2023-05 2023-06 2023-07 2023-08 2023-09 2023-10 2023-11 2024-12 2023-12 2023-08 0.6 5TC_C Aug 23 cape 2023-09 2023-10 0.6 5TC_C Sep 23 cape 0.6 5TC_C Oct 23 cape 0.6 5TC_C Nov 23 cape 0.6 5TC_C Dec 24 cape 2023-11 2024-12 2023-12 2023-01 0.6 4TC_P Dec 23 pana pana 0.6 4TC P Feb 23 pana 0.6 4TC P Jan 23 2023-01 2023-02 2023-02 2023-03 0.6 4TC P Mar 23 pana 2023-03 2023-04 2023-05 2023-04 2023-05 2023-06 2023-06 2023-07 2023-08 2023-09 2023-10 2023-11 2024-12 C C C C C C C C C C C C C P P P P P P P P P P P P P 23 24 25 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 26 10 0 0 0 0 0 0 0 0 0 0 0 0 0 10 5 5 5 5 5 5 5 5 5 5 5 150 0 0 0 0 0 0 0 0 0 0 0 0 0 160 160 160 160 160 160 160 160 160 160 160 160 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 0.12 1478000 0.219891746 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 1478000 0.310216509 1478000 0.037212449 1478000 0.042963464 1478000 0.044654939 1478000 0.044654939 1478000 0.044654939 1478000 0.042963464 1478000 0.042963464 1478000 0.042963464 1478000 0.042286874 1478000 0.042286874 1478000 0.042286874 0 0 0 0 0 0 0 0 0 0 0 0 0 -0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.4 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 4TC_P Apr 23 pana 0.6 4TC P May 23 pana 0.6 4TC P Jun 23 pana pana 0.6 4TC_P Aug 23 pana 0.6 4TC P Jul 23 0.6 4TC P Sep 23 pana 0.6 4TC P Oct 23 pana 0.6 4TC_P Nov 23 pana 0.6 4TC_P Dec 24 pana 2023-07 2023-08 2023-09 2023-10 2023-11 2024-12
Expert Answer:
To calculate the component VaR for each security in Python you can use the following code python Copy import numpy as np Define the data returns nparr... View the full answer
Macroeconomics Principles Applications And Tools
ISBN: 9780134089034
7th Edition
Authors: Arthur O Sullivan, Steven M. Sheffrin, Stephen J. Perez
Students also viewed these programming questions
-
This case study on project evaluation is applicable for beginning courses in corporate finance or finance strategy. Two alternative investment options are available to evaluate. Challenges are...
-
can someone solve this Modern workstations typically have memory systems that incorporate two or three levels of caching. Explain why they are designed like this. [4 marks] In order to investigate...
-
This case study on project evaluation is applicable for beginning courses in corporate finance or finance strategy. Two alternative investment options are available to evaluate. Challenges are...
-
Gabriele Enterprises has bonds on the market making annual payments, with seven years to maturity, a par value of $1,000, and selling for $974. At this price, the bonds yield 7.2 percent. What must...
-
The balance sheet data of Brown Company at the end of 2015 and 2014 follow: Land was acquired for $30,000 in exchange for common stock, par $30,000, during the year; all equipment purchased was for...
-
A consulting engineer has been engaged to advise a town how best to proceed with the construction of a 200,000 m3 water supply reservoir. Since only 120,000 m3 of storage will be required for the...
-
In 2000, San Fernando drilling shipped 300 diamond drill bits to its subsidiary in Ecuador. The drill bits were shipped at San Fernandos cost of $1,000,000 each to avoid Ecuadors duty of 20 percent....
-
Kruger Associates is considering a substantial investment in the stock of McIntyre Enterprises. McIntyre currently (time 0) pays a dividend of $1.50 per share. This dividend is expected to grow at 15...
-
Question 16 10 pts Company X reported net income for 2020 in the amount of $153. The company's financial statements also included the following: Increase in accounts $ 6 receivable Decrease in...
-
Montreal Electronics Company manufactures two large-screen television models: the Nova, which has been produced for 10 years and sells for $900, and the Royal, a new model introduced in early 20x0,...
-
For this assignment you are required to develop a job evaluation for 2 companies below and answer 1 question. Company 1: Recommend a job evaluation system for a small family-owned business with six...
-
Identify and elaborate on the obstacles or resistance you might face when trying to encourage the utilization of the evaluation\'s recommendations, and how you would address these challenges.
-
What your analysis on this: The Baumol model has limitations in that it assumes a structured uniform and certain level of cash balances. It prevents fluctuating cash flows making it unable to predict...
-
You purchase 110 shares of COST for $288 per share. Three months later, you sell the stock for $297 per share. You receive a dividend of $0.61 a share. What is the EAR of your investment?
-
Identify, with examples, at least two challenges faced by organizations and/or employees when dealing with social media. Discuss your opinion on the incident with the conference attendees and explain...
-
How does the Three-Skill Approach manifest itself in the different levels of leadership (i.e., Lower Management Levels, Middle Management Levels and Upper Management Levels? How does the Style...
-
Limit Buy Orders Limit Sell Orders Price Shares Price Shares $ 92.05 100 $92.17 800 92.04 300 92.16 5001 92.03 450 92.15 300 92.02 900 92.14 600 92.01 1,600 92.13 300 92.12 400 92.11 275 Required: a....
-
TRUE-FALSE QUESTIONS 1. In terms of preliminary analytical procedures, assume that the company has introduced a new product with a low price point and significant customer demand. The auditor would...
-
In early 2010, one quarter of all U.S. homes were underwater. No, there was not massive flooding across the entire country. The term underwater means that homeowners owed more on their mortgages than...
-
1. Pricing below production cost or selling at prices in foreign markets less than those in domestic markets is known as __________. 2. Under global trade rules, the United States was allowed to ban...
-
1. The wage for a particular occupation will be relatively low if labor _______ (demand/supply) is small relative to labor _______ (demand/supply). 2. If a city has a relatively high crime rate, we...
-
Show how the share price of a very profitable company which invests at a rate of return that is higher than the required rate of return can still drop.
-
What is a conglomerate discount? How can it be avoided?
-
A company that is close to insolvency carries out a capital increase. Is this a signal? Why? What criteria can you identify as being necessary for a decision to be described as a signal?
Study smarter with the SolutionInn App