Question
The purpose of this exercise is to compute a VaR measure for a $1 million trading portfolio of an investment bank. The portfolio is composed
The purpose of this exercise is to compute a VaR measure for a $1 million trading portfolio of an investment bank. The portfolio is composed of $350,000 of Royal Bank (RY) stock, $150,000 of BCE stock and $500,000 of Dollarama (DOL) stock. The file prices_2022.xls (that can be downloaded from Brightspace) contains daily historical closing prices over the period January 1, 2019 - March 10, 2022, for the three stocks. 1) Calculate the daily arithmetic returns for each of the stocks over the sample period. Using Data Analysis/Descriptive statistics, calculate the mean, standard deviation, kurtosis, and skewness for each of the historical distributions of returns. Based on these statistics, do the historical distributions of returns of the three stocks look like the normal distribution? (explain) 2) Using Data Analysis/Histogram visually inspect the historical distribution of returns of each of the stocks. Do they resemble the normal distribution?
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