## CHECK THESE SAMPLES OF Value at Risk (VAR) of a portfolio of 4 shares

...?Financial Modeling Summary: The chapter below is the discussion of the financial modeling, the financial model discussed in the chapter mainly consists of the various approaches used in the modeling. The different kind of the modeling discussed here are the **value** at **risk**, Mont Carlo **VaR** analysis, bootstrap method of analysis and the **portfolio** analysis. The main intention of the study is to conduct an analysis of the **Value** at **Risk** (**VaR**) of a **portfolio** of **4** **shares** using the methods discussed in the above Financial Modeling. The four companies are taken into account for calculation of the **shares** and the Companies used for the analysis and they are the British Land Company PLC, Marks & Spencer Group PLC, Cairn Energy PLC and the Land... is to...

17 Pages(4250 words)Literature review

...?Introduction This report aims to present the findings of an analysis of the 260-day **Value** at **Risk** (**VAR**) of a **portfolio** of four **shares**. The purpose of this analysis is to measure financial **risk** as well as to quantify and manage the **risk** of a **portfolio**. A short discussion of **Value** at **Risk** in general will be provided, followed by a review of the key questions motivating this analysis. A summary of the data used to conduct the analysis and the methodology employed also will be followed by presentation of the main findings of the analysis, along with a discussion of any limitations and possible recommendations. Background: **Value** at **Risk** (**VAR**) According to Choudhry (2006), the **VAR** of a **portfolio** is the maximum loss expected to occur... with a...

14 Pages(3500 words)Assignment

...is carried out on the **value** at **risk** of a **portfolio** of four **shares** employing the techniques deployed in financial modeling. The report is also 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...

20 Pages(5000 words)Essay

...?Introduction This assignment is aimed at quantifying and managing the **risk** of a **portfolio** by measuring financial **risk** analysis of the 260-day **Value** at **Risk** (**VAR**) of a **portfolio** of **4** **shares** that include: . National Grid PLC, Tate & Lyle PLC, Imperial Tobacco Group PLC and Investec PLCA. In the analysis, it is important to start by conducting a short discussion of **Value** at **Risk** in general, followed by a summary of the data analysis that includes presentation of the main findings of the analysis, along with a discussion of any limitations and possible recommendations. Finally a conclusion is made on the data that has been analysed and presented. Background Hofler (2008) asserted that **Value**-at-**Risk** was first used in the late 1980’s... to senior...

26 Pages(6500 words)Assignment

...?Analysis of the **Value** at **Risk** (**VaR**) of a **Portfolio** of **4** **Shares** **Value** at **Risk** (**VaR**) has grown to be an accepted measure by the analysts to identify the **risk** associated with the markets. **VaR** is understood as the greatest possible transformation in **portfolio** **value** within the given probable period. The **VaR** has many approaches; it is used in analyzing the **risk** management, to assess the performance of **risk** takers and to make accurate approximation in the probable market. The...

18 Pages(4500 words)Essay

...0.0013987 0.75 0.3 0.001734 0.0015829 0.7 0.35 0.001725 0.0017671 0.65 0.4 0.001745 0.0019513 0.6 0.45 0.001795 0.0021356 0.55 0.5 0.001874 0.0023198 0.5 0.55 0.001982 0.0025040 0.45 0.6 0.002119 0.0026882 0.4 0.65 0.002286 0.0028725 0.35 0.7 0.002482 0.0030567 0.3 0.75 0.002707 0.0032409 0.25 0.8 0.002961 0.0034252 0.2 0.85 0.003244 0.0036094 0.15 0.9 0.003557 0.0037936 0.1 0.95 0.003899 0.0039778 0.05 1 0.004270 0.0041621 0 MIN **VAR** 0.001725 Q 1.b Performance evaluation The expected return of the **portfolio** (0.0017671) is higher than the expected return of individual stocks over the latter period for shell Gas the expected return is 0.0014162 and IBM 0.000478. It is rational to invest in a...

10 Pages(2500 words)Essay

...? Sustainable **Value** **Portfolio** Introduction Sustainability in business refers to the focus an organization puts on the impact of its activities to the environment, the economy and society. Sustainability in business can take different concepts, which include; a balance in the operational concepts of a business, integration of the operational concepts of a business, and integration of business concepts, to ensure sustainability. In the balanced concepts of business sustainability, the business attempts to maximize its organizational **value**, by focusing on the investor **value**. This concept is normally intended to keep the business going. The concept mainly puts emphasis on sustaining the stakeholder relationships, which are essential... , and...

6 Pages(1500 words)Research Paper

...an investment **portfolio** not only possess the characteristic or **risk** and return of a single stock but also contain the irregularity of **risk** and return of the relationship between the securities held in the **portfolio**. This is because of establishing a diversified **portfolio** where selection of every security for the **portfolio** is in such a way that it helps to reduce the **risk** probable to the investment due to the other securities in the **portfolio**. Due to this investment **risk** for a **portfolio** of investment is done in the context of **portfolio** and not...

6 Pages(1500 words)Essay

...processes and process parameters for financial variables and correlations.
2. Simulate the hypothetical price trajectories for all variables of interest. Hypothetical price changes are obtained by simulations, draws from the specified distribution.
3. Obtain asset prices at time T, Pi,T, from the simulated price trajectories. Compute the **portfolio** **value** PpT = wi,TPi,T.
**4**. Repeat steps 2 and 3 many times to form the distribution of the **portfolio** **value** PpT.
5. Measure VART as the negative of the (1-)th percentile of the simulated distribution for PpT.
1.5 **VAR** Strengths and Weaknesses
The **VAR** methodologies are...

37 Pages(9250 words)Dissertation