EFN344: Risk Management and Derivatives
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EFN344: Risk Management and Derivatives
Semester 1, 2024
Individual Assignment
The Assignment is due by 11:59PM May 24, 2024
Total Points: 40 (30 for Part A and 10 for Part B)
Assignment Instructions
Please submit your assignment through the “Assignments” section on the EFB344 Risk
Management and Derivatives Canvas site. You need to submit two files separately (there are
two submission links, one for Part A and one for Part B):
1) An Excel Worksheet that includes Part A
Please name the file as follows: YourLastName_YourFirstName_Part_A.xlsx
2) A Word file for Part B.
Please name the file as follows: YourLastName_YourFirstName_Part_B.docx
The documents should be formatted to an appropriate standard.
The assignment will be marked online and results released on Canvas.
Page 2 of 5
Part A – Risk Management (30 points)
You are required to estimate the risk for a hypothetical holding of 1,000 shares of NAB. This
task is to be completed in Microsoft Excel. You are required to use the template
Template_data_and_analysis_Part_A.xlsx provided in Canvas. (you have to rename the file
before submitting it).
1. Data download
Download the price data of NAB shares for the period from January 31, 2019 to
January 31, 2024. The price data should be daily. You can find the price data from
various sources such as Yahoo finance . In Yahoo
finance the share code is NAB.AX and you need to select the “Historical Data” tab.
You are required to copy the data in the Excel tab NAB.ax.
2. VaR calculations
Estimate the market risk for your stock holding held on February 1, 2024 (you are
working out the risk position assuming that you own these shares at the open of
trading that day). You will do this by estimating the Value-at-Risk for the stock using
historical data.
You are required to calculate the 10-day VaR for the portfolio of shares at a
confidence level of 99%.