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Financial Modeling Of Value At Risk Portfolio - Essay Example

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Financial Modeling Of Value At Risk Portfolio

The report is carried out on a 260-day value-at-risk (VAR) of the portfolio of the shares used to make the report. The shares have been analyzed on a daily basis, to normalize the matching volumes of the traded shares. Various plans, methods and project formulae have been utilized to consider the application to be obtained for a determining process. The data used in the analysis uses closing prices to depict how the entire analysis and procedural VBA analysis operates. The shares and dividends depicted in the data are collected from open sources that have been computerized and processed. Nevertheless, some of the information is slightly corrected in order to evade troubles cause by missing data in the analyzed time, share and stock trades patterns. Additionally, the data has been decreased to the industrial shares and stock trading. The data analysis will have a function at the opening part of non-changed stock market data that creates a stable statistical distribution. The methodologies used in this data analysis include stimulation employed in the Brownian motion concept, the analytic method of the VAR concept, the Monte Carlo concept, a historical analysis and non-parametric technique. The outline of the remaining sections of the analysis include a background analysis of the data sample, analytic VAR, Monte Carlo VAR, historical analysis and discussion section. The congruence model has put several considerations into deep concentration. These are the inputs, the components of an organization and the outputs of the organization, defining each of these components intensively. The inputs of an organization have been classified into three main categories, and an additional derivative input has been added. These are; the Environment related inputs, resources and organizational history inputs. The derivative input outlined by the model is strategy, as it determines the functionality, productivity and interrelation of the rest of the inputs (Charnes, 2011, p. 142). An organization has been broadly categorized into four key components which are the task, the individual, formal organization arrangements and relationships as well as information organizational aspects, such as leadership skills. From the components, the model has covered the outputs of an organization, which will be the core focus of our analysis. The outputs have been categorized into three main classes, which include Individual output, Group output and organizational output (Charnes, 2011, p. 142). Using the model, this paper will analyze a company outlining the various issues pertaining to the organization and the extent to which the organization has achieved efficiency as defined by the model and the creators. Table of summary statistics for each of your shares individually B(t) A(t) time Path 1 Path 2 Path 3 time Path 1 Path 2 Path 3 0 0 0 0 0 10 10 10 1 -1.5556 -0.8799 0.7468 1 9.5833 9.7860 10.2740 2 -2.6548 -0.1507 -0.8768 2 9.3036 10.0548 9.8370 3 -5.0247 0.0467 -1.8954 3 8.6426 10.1640 9.5814 4 -4.0943 -0.5172 -1.1894 4 8.9717 10.0448 9.8432 5 -3.9233 -1.2864 0.0331 5 9.0730 9.8641 10.2599 6 -1.1964 -1.1685 0.2872 6 ...Show more


This following report aims to analyze, justify, explain, recommend and conclude on the financial modeling outcomes of four shares of four different companies. The analysis is carried out on the value at risk of a portfolio of four shares employing the techniques deployed in financial modeling…
Author : kertzmannlawren
Financial Modeling Of Value At Risk Portfolio essay example
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