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Choose a major European, Asian or Australian stock index, stock with the market capitalisation at least $100B, bond, bond index, c

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Choose a major European, Asian or Australian stock index, stock with the market capitalisation at least $100B, bond, bond index, currency exchange rate or a commodity.

Choose a major European, Asian or Australian stock index, stock with the market capitalisation at least $100B, bond, bond index, currency exchange rate or a commodity.

Download the corresponding daily closing prices for a time period not less than 3 years preceding the start of the financial crisis in 2007 and calculate the corresponding daily log-returns.

Check if daily log-returns appear stationary in the chosen time period.

Check if daily log-returns appear to have a heavy-tailed distribution.

Explain the estimation method presented in the MSO4110 module and critically compare advantages and disadvantages of non-parametric vs. parametric methods of estimating measures of risk when data appears heavy-tailed.

Using the estimation method presented in the MSO4110 module, estimate for daily log-returns in the chosen time period (a) the tail index and (b) Expected Shortfall (conditional Value-at-Risk).

Choose a shorter interval of time (not less than 3 months) within the chosen time period, for which you consider evaluation of risk particularly important, and calculate measure of risk mTA. Explain the method of mTA calculation.

Elaborate what implications your findings might have for an investor on the eve of the financial crisis.

[60 marks]

 

The coursework is a piece of individual research. It aims to let you demonstrate skills and techniques you’ve learned in this module. Your knowledge of these techniques will be assessed.

 

A possible structure may consist of

1. Introduction and review of methods.

2. Results.

3. Conclusions.

4. References. 


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  • Title: Choose a major European, Asian or Australian stock index, stock with the market capitalisation at least $100B, bond, bond index, currency exchange rate or a commodity.
  • Price: £ 99
  • Post Date: 2018-11-06T11:10:30+00:00
  • Category: Assignment
  • No Plagiarism Guarantee
  • 100% Custom Written

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Choose a major European, Asian or Australian stock index, stock with the market capitalisation at least $100B, bond, bond index, currency exchange rate or a commodity. Choose a major European, Asian or Australian stock index, stock with the market capitalisation at least $100B, bond, bond index, currency exchange rate or a commodity.
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