接了一个3天内加急的3000字数金融数据分析报告，需要使用R语言用适当的统计方法对收集来的大量第一手资料和第二手资料进行分析，以求最大化地开发数据资料的功能，发挥数据的作用，通过获取的数据进行典型图像绘制，使用正态性检验来检验是否服从于正态分布，使用 markdown制作。hhhh我可能不是专业的技术人员，描述不一定对，但是写手导师已经完美交付任务分析报告，客户非常满意！金融代写稳！-代写之家
The objective of the coursework is to allow you a first hand appreciation of some of
the key issues in measuring risk. There are two parts, one involving analysis of a
portfolio having a single risk factor, the other involving analysis of a portfolio having
two risk factors.
- Select, and acquire historical data for, a traded financial asset. This might, for
instance, be a commodity, a security, or a stock market index. Suppose that
you had invested 1 million pounds in this asset at the date given by the earliest
date in your data.
(a) Explain your choice of sample size.
(b) Using the data up to, but not including, 15th July 2021, calculate the simple
daily returns for your asset [use simple returns throughout this coursework].
Examine and describe the key statistical features of your sample of returns.
(c) Calculate VaR and ES for 15th July 2021 using a one day holding period, and
a confidence level of 90%, using the following methods:
i. Basic Historical Simulation
ii. Age-weighted Historical Simulation
iii. Hull-White
iv. Parametric, using the Normal distribution, without volatility adjustment
v. Parametric, using the Normal distribution, with volatility adjustment
vi. Parametric, using what you believe to be an appropriate distribution,
without volatility adjustment
vii. Parametric, using what you believe to be an appropriate distribution,
with volatility adjustment
You should present your results in a single table, and briefly provide a commentary
on the similarities and differences.
(d) Explain why it would be problematic to have used log returns to calculate
VaR and ES for any of the parametric methods in the previous question. - Acquire data for another asset and suppose that at at the start of the time series
you invested 1 million pounds in this asset as well. You now have a portfolio
which at the start of the data series was worth 2 million pounds. Suppose initially
that your portfolio is not actively managed, so that your holdings of each asset
remain unchanged.
(a) Using the data up to, but not including, 15th July 2021, calculate the simple
daily returns for each of the individual assets which constitute your portfolio.
Examine and describe the key statistical features of your sample of returns.
(b) Calculate VaR and ES for 15th July 2021 using a one day holding period, and
a confidence level of 95%, using each of the following methods
i. Basic Historical Simulation
ii. Age-weighted Historical Simulation
iii. Hull-White
iv. Parametric, using the Normal distribution, without volatility adjustment
v. Parametric, using the Normal distribution, with volatility adjustment
vi. Parametric, using what you believe to be an appropriate distribution,
without volatility adjustment
vii. Parametric, using what you believe to be an appropriate distribution,
with volatility adjustment
(c) Explain how you might have been able to reduce your risk exposure for 15th
July 2021 had you been able to adjust your portfolio on the 14th July 2021.
Use the Basic Historical Simulation method for this part.
The deadline for submission is as notified in the module outline. Please see Moodle
for further discussion of useful approaches to this topic, and hints about R code.
