Dear Students Following the in-class exercise and discussion on the market risk valuation. You are required to submit the assignment keeping in mind the following guidelines. a- There are two sections of the assignment ( Individual Assets Value at Risk (VaR) calculation and Portfolio VaR calculation and evaluation b. Addressing both section in your assignment is compulsory For this purpose, you are required to

1- Select any FIVE assets listed on the Abu Dhabi Security Exchange

2- Daily price data of the assets should be considered for the 6 months ONLY ( Approximately 180-190 observations) For Part 1 of your assignment

3- You will calculate Value at Risk ( VaR) for 5 assets individually. Make sure that for comparison and discussion purpose, your probability choice and number of day in a month are different for each asset. Once you have calculated the VaR for Individual assets, make sure to cover the following points in discussion How change in a probability and level of confidence interval change the assets value position? How early day or later day in a month effect the value composition of your selected assets?Evaluate how expected loss level is caused by the selected level of confidence, minimum returns or choice of day selection in a month? For Part B of the assignment Use Historical Simulation Approach (HSA) to determine the expected level of loss of in a portfolio composition with different "level of uncertainty" and different level of "Historical VaR at position" . To help you in going through this assignment, i have attached step-by steps guidelines of part A and B. You may also see the attached class exercise excel sheet to complete this assignment.

you can uesed any stocks in UAE

Thank You

VaRProtf- Class Excerise CB) lCompatibility Model Excel HOME NSERT PAGE LAYOUT FORMULAS DATA REVIEW VIEW ismail alnaabi cut AutoSum Arial A A E Wrap Text General EB copy Merge & Center Conditional Format as Cel Insert Delete Format Sort & Find & B I U MFarmat Painter Clear lter Select Formatting Table Styles Clipboard Font Alignment Number Editing 1 Variance Covariance Approach 2 This spreadsheet computes the VaR of a portfolio which contains shares/equities. The spreadsheet is set to do the c culations for 3 shares, but can eas ly extended to a asset c 4 To extend this spreadsheet to 5 assets. the (daily) std.dev. or asset 4 and 5 has to be calculated as well as the correlations. 6 Use Input All its have to be made in Historic Simulation Approach Sheet. CHANGE ONLY RED CELLS Assets Value Std. Dev. VaR Abs. VaR Co elation Matrix 10 1 0.047655 0.278617 0 10,000 2.7096% 446 446 12 0.047655 1 -0.02328 0 13 0,000 4.0242% 662 662 14 3 10.000 2.3701% 390 390 0.278617 -0.02328 17 19 Individual VaR's Level of certain. 0.95 Normal dist. Value 1.645 Worse Case VaR 1,497 Div. VaR VALUE! Historic Simulation Approach VC Approach ED READY un 4x ENG 5:11 PM XE VaRProtf- Class Excerise CB) lCompatibility Model Excel HOME NSERT PAGE LAYOUT FORMULAS DATA REVIEW VIEW ismail alnaabi cut AutoSum Arial A A E Wrap Text General EB copy Merge & Center Conditional Format as Cel Insert Delete Format Sort & Find & B I U MFarmat Painter Clear lter Select Formatting Table Styles Clipboard Font Alignment Number Editing 1 Variance Covariance Approach 2 This spreadsheet computes the VaR of a portfolio which contains shares/equities. The spreadsheet is set to do the c culations for 3 shares, but can eas ly extended to a asset c 4 To extend this spreadsheet to 5 assets. the (daily) std.dev. or asset 4 and 5 has to be calculated as well as the correlations. 6 Use Input All its have to be made in Historic Simulation Approach Sheet. CHANGE ONLY RED CELLS Assets Value Std. Dev. VaR Abs. VaR Co elation Matrix 10 1 0.047655 0.278617 0 10,000 2.7096% 446 446 12 0.047655 1 -0.02328 0 13 0,000 4.0242% 662 662 14 3 10.000 2.3701% 390 390 0.278617 -0.02328 17 19 Individual VaR's Level of certain. 0.95 Normal dist. Value 1.645 Worse Case VaR 1,497 Div. VaR VALUE! Historic Simulation Approach VC Approach ED READY un 4x ENG 5:11 PM XE