You are required to analyse the market risk of portfolio in a calm and crisis period. To achieve this, you can choose a crisis period of your choice $($e$.$g$.,$ global financial crisis, sovereign debt crisis, COVID$-19).$

Create a portfolio consisting of four real$-$world assets. Choose an appropriate sample period to allow you to divide the sample into $$Before Crisis$$ and $$During Crisis$$ periods. The choice $($and division$)$ of the sample periods should be appropriately justified in the report.

You are required to complete the following tasks.

$1.$ Estimate the change in market risk of your portfolio during the crisis using Value at Risk $($VaR$)$ techniques and the Expected Shortfall. Critically discuss the drivers that led to this change in the market risk of the portfolio during the crisis period.