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Line of Business VaR vs. Total VaR a) Using a lookback period of 2003-2014 (i.e., using all 12 years of data), what is the one-year
Line of Business VaR vs. Total VaR
a) Using a lookback period of 2003-2014 (i.e., using all 12 years of data), what is the one-year 99% confidence level VaR for each transaction type?
b) What is the one-year 99% confidence level VaR for the Principal Transactions business segment as a whole?
c) How does the VaR of the total business segment compare to the sum of the VaRs of the individual transaction types? Explain in words what causes this difference.
Note: All calculation should be in Excel. Need the formual view of Excel also.
($ in millions) 2003 2004 2007 2008 2010 2012 2013 2014 Fixed income Credit derivatives and structured credit products Equities Foreign exchange Commodities All Other 2,4481,789 2,094 5,5 4,053 (6,455) 6,211 3,231 5,136 2,380 4,055 3,657 158 319 (260) 590 182 2,176 136 (57) 335 1,839 371 52 (744) (21,805) (21,614) (3,495) 1,313 (290)(159) 344703 866 693 1,2222,316 2,762 1,852 2,309 2,493 2,307 2,008 487 394 585 2,870 910 (16) 682 334 995 86 667 924 126 76 108 277 Total $4,885 $3,716$6,443 $6,895 (S15,162) (S25,480) $6,068 $7,517 $7,234 $4,980 S7,302 $6,698Step by Step Solution
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