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Your client would like to assess the risk of holding a portfolio of 90 lakhs...

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Finance

Your client would like to assess the risk of holding a portfolio of 90 lakhs invested in Nifty-50 and Nifty-midcap-50 indices with weights 0.7 and 0.3 respectively. Please provide the client with the following estimates for both 1-day time horizon and 7-day time horizon:

  • 99% VaR and ES using historical simulation. You can use data of last 2 years to do this (this data is easily available on the web
  • Same risk estimates as in (a) using weighted historical simulation with = 0.9. (you can read about weighted HS in section 13.3 of the course text). How sensitive are your risk estimates to the choice of ? (you can find this by altering the a little on either side)
  • 99% Analytical VaR, assuming a normal distribution. You can estimate the required parameters from the last 6 months data.

Make your submission in a single excel file.

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