Need expert who is good at Risk Management and Derivatives

You will be asked to calculate the following. 10-day VaR for the bond at a confidence level of 99%. Note: This risk estimate applies to the next 10 trading days from September 2, 2019 until September 13, 2019 (i.e. – it should be a forecast of risk). Need to give me several options for how to compute this risk measure, a) the normal distribution using the EWMA for volatility, or b) a normal distribution based on a rolling window for volatility, and c) historical simulation using a rolling window. All three methods require choosing parameters to assign weight to past data, λ for the EWMA and the window length for the rolling windows. You will consider the following. Normal Distribution (EWMA) λ=0.94 Normal Distribution (RW) Rolling window with 252 trading days. Historical Simulation (HS) Rolling window with 252 trading days.

Evner: Finans, Certified Public Accountant, Financial Modeling, Regnskab

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Om arbejdsgiveren:
( 14 bedømmelser ) Bratislava, Slovakia

Projekt ID: #31644387

6 freelancere byder i gennemsnit €18 timen for dette job


Hey mate, Thanks for taking time out to read my proposal. I'm working in this field for around 9 years, holding a Masters degree in Finance. I have read your project i can help you with accounts and finance I have a Flere

€30 EUR in 7 dage
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(7 bedømmelser)
(1 bedømmelse)

I am a data entry operator your work complete in 7 days and best working performance in your work for data entry

€19 EUR in 7 dage
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Hi, i have cleared part 1 of FRM (Financial risk manager ) by GARP. i can fulfill your requirements by providing an excel sheet to do the mentioned calculations

€25 EUR in 15 dage
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