Design an equity portfolio of £500 million consisting of at least two assets in fixed proportions
Use Yahoo Finance (or if you prefer use Bloomberg in the Trading Room for those who know how to use it) to download the data
of equity returns and use EXCEL to model the VaR.
Design an equity portfolio of £500 million consisting of at least two assets in fixed proportions. Use daily returns for one
year to construct a measure of risk for the portfolio (25%).
Calculate a Value-at-Risk that meets the conditions of Basle 2 regulation and calculate the recommended capital requirement
(25%).
What could be done to reduce the market risk on this portfolio and to reduce the relevant capital requirement (40%)?
Critically evaluate the assumption of normalityin your calculations (10%).
Clearly show your calculations.