VaR:

• Annual statement of any banks look up the term "risk", "VaR" and interpret the term.
  • E.g.:https://www.jpmorganchase.com/corporate/investor-relations/document/annualreport-2018.pdf
  • How does these bank calculate VaR (for market risk)?
  • Which confidence level? Using which data?

1) VaR, Calculation

• Watch video: https://www.youtube.com/watch?v=2QJykxUNb6I
• Download KOSPI index data from finance.yahoo.com and calculate 1 day VaR at 99% confidence level using historical data. Answer the following questions.

Assumption: Your current asset value is $1,000 and daily expected return is 0.

1. What is your VaR?
2. Which sample period have you selected and why?
3. How reliable your number do you think is?

2) Annual statement

From the JP Morgan and Shinhan bank's annual statements, look up"Risk","Value at Risk","VaR".(Shinhan: page 107-111, page 131- )

1. Which measure (confidence level, period) do they use?
2. What are the numbers? Provide interpretation for the number.
3. What is backtesting? How is it done and why is it reported?

• Shinhan BankManagement disclosure

https://image.shinhan.com/nexhpe/download/ftpfile/data5/20230331042642_16101049_SHB_Report_FY2022.pdf

JP Morgan annual statement:

https://www.jpmorganchase.com/content/dam/jpmc/jpmorgan-chase-and-co/investor-relations/documents/annualreport-2022.pdf