Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

You are required to produce your individual submission. Select a financial time-series dataset and apply several risk analysis approaches for estimating the volatility and future

You are required to produce your individual submission. Select a financial time-series dataset and apply several risk analysis approaches for estimating the volatility and future trend of the selected time series data. You can choose any type of financial time series indicator, such as stock returns, interest rates, exchange rates, option prices etc. Your selected data could be daily or monthly for a number of years to ensure a minimum 100 observations

Detailed marking scheme and instructions:

1. Introduction (15%) Aims and objectives of the report. Rationale of your choice of the data and estimation period. Short brief of methodologies applies in the work and provide the outline structure of the report at the end of the section.

2. Literature Review on Market Risk Models (25%) Literature review on various approaches in risk analysis, such as Historical Simulation, Value at Risk, simple variance/covariance approach, ARCH/GARCH models

3. Data Collection (15%) Source and data description. Descriptive statistics and its implications in finance. Please use tables and graphics to support your descriptive statistics.

4. Methodology and Findings Analysis (35%) Demonstrate 2-3 models you conducted for estimating the volatility and Value at Risk for the selected time series data. Include equations, tables, charts, graphs to demonstrate the modelling process and results. Compare results from different modelling process and critically analyse their implications in the real finance world.

4. Academic Referencing (5%) APA citing and Referencing Style.

5. Overall Quality of the Presentation and Structure of the Report (5%) Clear, logical, imaginative, creative and original. Apply academic writing skills and level of written English expected from a Master level submission, including using of subject specific languages.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Inside And Outside Liquidity

Authors: Bengt Holmstroem, Jean Tirole

1st Edition

0262518538, 9780262518536

More Books

Students also viewed these Finance questions