The purpose of this assignment is for you to understand the usage of different models for the calculation of market risk. Follow the below steps and use the models to answer your questions.

1. Select four indices of your own choice, in USA or elsewhere. Divide your portfolio value of $15.000.000 in positions of 15%, 20%, 35% and 30% among the indices.
2. Insert the last 500 days data of the indices in the data sheet. Use the exchange rates for calculation of dollar equivalents of indices in other than USD currency.
3. Find the portfolio values under each scenario created.
4. Find the VaR of your portfolio in levels of confidence 99%, 97% and 95% from the traditional historical simulation approach.
5. Include a EWMA of 0.99 to find the new values of your portfolio according to the first extension of the traditional historical simulation approach.
6. Find the VaR of your portfolio in levels of confidence 99%, 97% and 95% from the extended historical simulation approach.
7. Include a EWMA of 0.98 to find the new values of your portfolio according to the volatility extension of the historical simulation approach.
8. Find the VaR of your portfolio in levels of confidence 99%, 97% and 95% from the extended historical simulation approach.
9. Use the same data to calculate the 99% level of confidence VaR using the model building approach.
10. Produce a report on the final results and what they mean for market risk, no more than one A4 page.