Risk Management – The Volatility Forecast

· .cuny.edu/webapps/assignment/uploadAssignment?content_id=_18900925_1&course_id=_1111090_1&assign_group_id=&mode=view”>1. The Volatility Forecast

Attached Files:

o .cuny.edu/bbcswebdav/pid-18900925-dt-content-rid-102313772_1/xid-102313772_1″>.0/msohtmlclip1/01/clip_image001.gif” alt=”File”> 8 VaR Analysis Project.xlsx (197.498 KB)

This assignment has two parts.

2. Complete the excel spreadsheet to find the RiskMetrics and historical VaR values, and then form a volatility forecast based on the exponentially weighted moving average technique (EWMA).

3. Provide a written analysis of your results, including discussions of these questions:

· What is the meaning of the VaR?

· How different or similar are the VaR estimates you calculate in the spreadsheets based on RiskMetrics and the historical methods?

· Based on your results, does it appear that volatility is changing significantly from Sept. 4 to 5?

· Why do we care about volatilty forecasts?

· How would a bank use these forecasts?

· What qualifications should a bank keep in mind when using these forecasts?
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