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Financial Modeling Of Value At Risk Portfolio - Essay Example
Finance & Accounting
Pages 20 (5020 words)
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…
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. ...
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