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Case Study 1: Value at Risk
Mgmt 403: Advanced Risk Management，硬性要求是，要自己来计算optimize weights，不能直接用之前几题的assets weights。
1. Read the HBS case study Value-At-Risk in your class reading material.
2. Assume that you are in the position of Calvin Lassal, who manages SmallBank in Tinyville. However, instead of holding U.S. government bonds with maturity of two years, German government bonds with a maturity of fi
ve years and German currency, you have the following positions:
(a) $1,000,000 in a US equity market portfolio
(b) $3,000,000 in a US 10-year government bond with maturity of 10 years
(c) DM1,000,000 in cash (this is a pre-Euro case)
3. The log returns of the US equity portfolio and the 10-year US government bond are provided in case1_data.xls. The
le also contains the $/DM exchange rate. All data are daily over the January 1987 to
December 1997 period.
4. Compute the summary statistics of the data (means, std. dev., correlation, serial correlation, etc). When relevant, express all statistics in daily percents and annualized percents.
(a) Do the monthly and annual variances of the assets uctuate?
(b) Do the monthly and annual correlations of the assets uctuate?
5. Compute the 99% VAR for the stock, bond, and DM positions over a daily, 10-day, and monthly horizon. Make sure to discuss the impact of variance uctuations on your VARs?
6. Compute the total VAR of your bank over a daily, 10-day, and monthly horizon. Make sure to discuss the impact of variance and correlation fluctuations on your VARs?
7. What is the diversi
ed and non-diversi
ed VAR of your bank? What do they imply about your holdings?
8. Suppose that MegaBank, which has just acquired SmallBank, wants to give you an additional $5,000,000 to manage. How would you allocate this money? Why? What are the VARs associated with the new positions?
案例编号ARM201903, Winter 2019
本节课一共包含了5个 Case Studies，没有期中考试，只有期末考试
Value-at-Risk
Credit General
Aspen Technologies
MG
Orange County
Lectures on risk management tools
Elements of equity pricing
Elements of fixed income pricing
Elements of derivative pricing
Elements from foreign exchange markets