Market Risk Estimation

1. You must select 5 corporations of your choice from the same industry. Assume that the analysis is performed on October 1^st, 2020. All the data you need to collect must be consistent with this date.

Compute VaR of your portfolio using Variance-Covariance, Historical Simulation and Monte-Carlo methods. Time horizon 1 year. Confidence interval 99%. Calculate the Expected Shortfall. Present your results and discuss the findings.

(750 words, 20 marks)