We use cookies to create the best experience for you. Keep on browsing if you are OK with that, or find out how to manage cookies.

Value at Risk (VAR) of a portfolio of 4 shares - Assignment Example

Comments (1) Cite this document
Summary
This is a report prepared to show the analysis of the Value at Risk (VAR) of a portfolio of 4 shares. The shares are based on four entities namely kingfisher PLC, GKN PLC, Admiral PLC, and Burberry Group PLC all from different companies…
Download full paper
GRAB THE BEST PAPER
Value at Risk (VAR) of a portfolio of 4 shares
Read TextPreview

Extract of sample
Value at Risk (VAR) of a portfolio of 4 shares

Download file to see previous pages... This research aims to evaluate and present risks the financial institutions face with. Credit risk deals with the potential loss resulting from inability of a counterpart to adhere to its obligations. It is characterized by three basic components this being; credit exposure, loss in the event of default and probability of default. Liquidity risk is mainly caused by unforeseen outsized and stressful off-putting cash flow over a short span of time. A firm may be obliged to put up for sale some of its assets at a markdown, if it has vastly illiquid assets and suddenly requires liquidity. Market risk looks at the variations in market conditions and stipulates the uncertainties likely to occur to future earnings. Finally, operational risk includes the risk of regulatory and fraud. It mainly takes into account the errors made in settling transactions or instructing expenditure. Market risk is the most prominent; it highlights the potential economic loss as a result of a decrease in the portfolio’s market value. Value at Risk (VaR) is the best measure that financial analyst can use to compute this risk. VaR is defined as a portfolio’s maximum potential loss value of financial instruments over a certain horizon with given probability. In this report, we are using the data obtained of four different companies. These data are composed of the total return indices of the four companies for the last ten years. VaR is a challenging statistical problem, though its existing models for calculations employ different methodologies they still follow a general structure. This structure involves three steps: a) Mark to market the portfolio, b) Approximate the distribution of returns, c) Calculate the VaR of the portfolio. The difference in the methods that are used to find VaR lie in step 2, because of the way they address the hitch of how to approximate the possible variations in the significance of the portfolio. For example, CAViaR models do not take account of the distribution matter; the quartile of the distribution is calculated directly in this case. There are a number of methods used in calculating the VaR value; in this report the main methods to be used are the Monte Carlo, Analytic and Bootstrap VAR. The report gives detailed results of all the three methodologies in a systematic manner, with data sample of a 260-day from the provided data of the portfolio shares for the four companies. The data are based on the total return index which takes into account the dividend level which is essential in valuing shares, unlike the price data sample. Background to the data sample The data are sampled from a ten year record of four individual companies, Kingfisher PLC, GKN PLC, Admiral PLC and Burberry PLC. Kingfisher PLC; is a company operating in the retail industry, founded in 1982 by Paternoster Stores Ltd. It expanded through successive acquisitions like Superdrug and B&Q. The company is a multinational now headquartered in London, UK. The company provides products such as home appliances, garden supplies & plants, tools and hardware mostly home improvement products. It deals with brands such as B&Q, Brico Depot, Screwfix and Castorama. Its chain of stores is nearly 900 spread across eight countries in Asia and Europe. GKN PLC; found in the automotive and aerospace industry, its origin dates back to 1759 in the early stages of the industrial revolution. The company is a ...Download file to see next pagesRead More
Cite this document
  • APA
  • MLA
  • CHICAGO
(“Value at Risk (VAR) of a portfolio of 4 shares Assignment”, n.d.)
Retrieved from https://studentshare.org/business/1394277-value-at-risk-var-of-a-portfolio-of-4-shares
(Value at Risk (VAR) of a Portfolio of 4 Shares Assignment)
https://studentshare.org/business/1394277-value-at-risk-var-of-a-portfolio-of-4-shares.
“Value at Risk (VAR) of a Portfolio of 4 Shares Assignment”, n.d. https://studentshare.org/business/1394277-value-at-risk-var-of-a-portfolio-of-4-shares.
  • Cited: 0 times
Comments (1)
Click to create a comment or rate a document
ke
kesslerignacio added comment 3 months ago
Student rated this paper as
I didn’t know how to start my essay. "Value at Risk (VAR) of a portfolio of 4 shares" helped me out a lot! Especially the list of content was valuable.
CHECK THESE SAMPLES - THEY ALSO FIT YOUR TOPIC
Analysis of the 260-day Value at Risk (VAR) of a portfolio of four shares
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 certain probability over a given time period.
14 Pages(3500 words)Assignment
Financial risk analysis of the 260-day Value at Risk (VAR) of a portfolio of 4 shares: National Grid PLC, Tate & Lyle PLC, Imperial Tobacco Group PLC and Investec PLCA
In the research 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.
26 Pages(6500 words)Assignment
Analysis of the Value at Risk (VaR) of a Portfolio of 4 Shares
In this study the researcher highlights the various methodologies like the value at risk, Mont Carlo VaR analysis, bootstrap method of analysis and the portfolio analysis. The study in this context analyzes the performance of the shares of the 4 companies namely Amec PLC, Lloyds Banking Group PLC, Lonmin PLC and Tesco PLC.
18 Pages(4500 words)Essay
Value at risk
Introduction In the paper below, analysis of four portfolio shares of 4 different companies in the stock exchange are going to be evaluated and the value at risk is calculated. Since no investors or companies wish to get losses while dealing in shares (Jorion 2007, p.2).
15 Pages(3750 words)Assignment
Value at Risk framework and its utility in Risk Management
VaR is now being employed to manage and control risk well beyond derivatives. VaR methodology is now assisting us to calculate both operational and credit risk resulting to the Holy Grail of business risk management. Many famous financial companies like Barings, Orange County, Daiwa, Metallgesellschaft, etc.
12 Pages(3000 words)Assignment
Security Analysis and Portfolio Management
The absolute return refers to the portfolio returned after sometime. Relative performance describes the difference between absolute return and the market performance. Relative performance enhances the measurement of performance of the actively managed funds with higher returns than the market (Brown & Kapadia 2007, p.
10 Pages(2500 words)Assignment
Value & Risk Management
s in enhancing efficacy and efficiency of businesses. The purpose of undertaking the analysis remains identification of the various elements providing increased value to a development project(Rafftery 2003). The identified elements become known as business value drivers.
18 Pages(4500 words)Assignment
Value and risk management
These are: I. The substructure of Skydome is 7.6% at £142.02 per m2 compared to 5% at £45.4 per m2 of Dundee arena. A difference of 2.6% or £96.98 per m2 is way too high. This has resulted from the additional permanent
9 Pages(2250 words)Assignment
Assignment 4 - Investment Portfolio Management
The risk aversion coefficient points out the extent to which an investor is risk averse. A higher value suggests that the investor will always tend to make less risky investments. A risk aversion coefficient of 1 implies less risk
5 Pages(1250 words)Assignment
Portfolio risk management
Moreover, portfolio is regarded as a process through, which investor can diversify their allocation of budget in different securities that will help them to minimize the possibility of risk while investing in single
9 Pages(2250 words)Assignment
Let us find you another Assignment on topic Value at Risk (VAR) of a portfolio of 4 shares for FREE!
Contact us:
+16312120006
Contact Us Now
FREE Mobile Apps:
  • About StudentShare
  • Testimonials
  • FAQ
  • Blog
  • Free Essays
  • New Essays
  • Essays
  • The Newest Essay Topics
  • Index samples by all dates
Join us:
Contact Us