Chat with us, powered by LiveChat Computation of portfolio VAR? The provided yields data file (yields.xls) contains 5-year yields from 1953 to 1994. Using this information and the - Writeedu
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15 May Computation of portfolio VAR? The provided yields data file (yields.xls) contains 5-year yields from 1953 to 1994. Using this information and the

Posted at 01:13h in Business & Finance by

Computation of portfolio VAR 

The provided yields data file (yields.xls) contains 5-year yields from 1953 to 1994. Using this information and the duration approximation, compute the portfolio VAR as of December 1994. Risk should be measured over a month at the 95% level. Report the distribution and compute the VAR:

· using a normal distribution for yield changes (Delta-Normal method) and a 12-month moving average model for the volatility of yield changes 

· using the actual distribution for yield changes (Historical-Simulation method using all the available past data) 

· Compare and discuss the differences between the VAR obtained using the two methods 

Hint: Consider yield changes as if they were log-returns

YIELDS

Date 5-Year Yield
12/1952 2.35
12/1952 2.42
12/1952 2.45
12/1952 2.53
12/1952 2.77
12/1952 3.07
12/1952 2.79
12/1952 2.72
12/1952 2.79
12/1952 2.41
12/1952 2.37
12/1952 2.38
12/1952 2.18
12/1952 1.87
12/1952 1.57
12/1952 1.53
12/1952 1.42
12/1952 1.73
12/1952 1.31
12/1952 1.38
12/1952 1.38
12/1952 1.52
12/1952 1.61
12/1952 1.68
12/1952 1.72
12/1952 2.27
12/1952 2.4
12/1952 2.4
12/1952 2.42
12/1952 2.46
12/1952 2.57
01/1953 2.76
01/1953 2.8
01/1953 2.67
01/1953 2.57
01/1953 2.73
01/1953 2.8
01/1953 2.71
01/1953 2.75
01/1953 3
01/1953 3.05
01/1953 2.87
01/1953 2.92
01/1953 3.17
01/1953 3.46
01/1953 3.31
01/1953 3.42
01/1953 3.59
01/1953 3.63
01/1953 3.26
01/1953 3.33
01/1953 3.34
01/1953 3.57
01/1953 3.66
01/1953 3.9
01/1953 3.99
01/1953 3.85
01/1953 3.9
01/1953 3.88
01/1953 3.2
01/1953 2.84
01/1953 2.82
02/1953 2.59
02/1953 2.53
02/1953 2.46
02/1953 2.38
02/1953 2.5
02/1953 2.81
02/1953 3.65
02/1953 3.76
02/1953 3.82
02/1953 3.59
02/1953 3.81
02/1953 3.95
02/1953 3.78
02/1953 3.93
02/1953 4.13
02/1953 4.2
02/1953 4.47
02/1953 4.48
02/1953 4.77
02/1953 4.82
02/1953 4.48
02/1953 4.82
02/1953 4.98
02/1953 4.71
02/1953 4.64
02/1953 4.09
02/1953 4.31
02/1953 4.32
03/1953 3.9
03/1953 3.34
03/1953 3.43
03/1953 3.43
03/1953 3.46
03/1953 3.77
03/1953 3.31
03/1953 3.63
03/1953 3.5
03/1953 3.48
03/1953 3.42
03/1953 3.55
03/1953 3.68
03/1953 3.73
03/1953 3.76
03/1953 3.65
03/1953 3.69
03/1953 3.81
03/1953 3.84
03/1953 4.02
03/1953 3.77
03/1953 3.66
03/1953 3.67
03/1953 3.63
03/1953 3.75
03/1953 3.84
03/1953 3.65
03/1953 3.66
03/1953 3.62
03/1953 3.55
03/1953 3.5
04/1953 3.68
04/1953 3.7
04/1953 3.7
04/1953 3.71
04/1953 3.74
04/1953 3.78
04/1953 3.85
04/1953 3.88
04/1953 3.92
04/1953 3.98
04/1953 3.96
04/1953 4.04
04/1953 4.02
04/1953 4.07
04/1953 4.11
04/1953 4.11
04/1953 3.99
04/1953 3.99
04/1953 4.01
04/1953 4.02
04/1953 3.99
04/1953 3.99
04/1953 4.09
04/1953 4.03
04/1953 4.13
04/1953 4.16
04/1953 4.14
04/1953 4.16
04/1953 4.15
04/1953 4.13
05/1953 4.16
05/1953 4.2
05/1953 4.29
05/1953 4.37
05/1953 4.44
05/1953 4.9
05/1953 4.82
05/1953 5.07
05/1953 4.77
05/1953 4.89
05/1953 4.96
05/1953 5.1
05/1953 5.25
05/1953 5.65
05/1953 5.26
05/1953 5.19
05/1953 5.22
05/1953 4.79
05/1953 4.59
05/1953 4.7
05/1953 4.37
05/1953 4.66
05/1953 4.65
05/1953 5.3
05/1953 5.08
05/1953 5.28
05/1953 5.37
05/1953 5.62
05/1953 5.66
05/1953 5.77
05/1953 5.48
06/1953 5.49
06/1953 5.63
06/1953 5.77
06/1953 5.74
06/1953 5.47
06/1953 5.18
06/1953 5.23
06/1953 5.2
06/1953 5.28
06/1953 5.41
06/1953 5.96
06/1953 6.37
06/1953 6.51
06/1953 6.4
06/1953 6.36
06/1953 6.66
06/1953 6.99
06/1953 6.93
06/1953 7.11
06/1953 7.99
06/1953 7.35
06/1953 7.61
06/1953 8.29
06/1953 8.2
06/1953 7.3
06/1953 7.24
06/1953 7.9
06/1953 7.78
06/1953 7.8
06/1953 7.57
07/1953 7.43
07/1953 7.07
07/1953 6.97
07/1953 5.91
07/1953 5.9
07/1953 5.7
07/1953 5.26
07/1953 4.93
07/1953 5.85
07/1953 5.93
07/1953 6.56
07/1953 6.63
07/1953 5.85
07/1953 5.91
07/1953 5.45
07/1953 5.43
07/1953 5.25
07/1953 5.56
07/1953 5.63
07/1953 5.7
07/1953 5.77
07/1953 5.86
07/1953 5.87
07/1953 5.95
07/1953 6.04
07/1953 6.13
07/1953 6.23
07/1953 6.25
07/1953 5.85
07/1953 6.41
07/1953 6.71
08/1953 6.73
08/1953 6.71
08/1953 6.71
08/1953 6.86
08/1953 7.76
08/1953 7.25
08/1953 6.74
08/1953 6.77
08/1953 6.74
08/1953 6.79
08/1953 6.87
08/1953 6.91
08/1953 7.51
08/1953 8.01
08/1953 7.86
08/1953 8.22
08/1953 8.38
08/1953 8.57
08/1953 7.97
08/1953 7.87
08/1953 7.43
08/1953 7.12
08/1953 7.3
08/1953 7.09
08/1953 7.37
08/1953 7.98
08/1953 7.49
08/1953 7.58
08/1953 7.82
08/1953 8
08/1953 8.15
09/1953 7.36
09/1953 7.54
09/1953 7.19
09/1953 7.43
09/1953 7.36
09/1953 7.33
09/1953 7.19
09/1953 7.71
09/1953 7.47
09/1953 7.32
09/1953 6.97
09/1953 6.92
09/1953 6.67
09/1953 5.94
09/1953 6
09/1953 6.73
09/1953 6.73
09/1953 6.73
09/1953 6.74
09/1953 6.74
09/1953 6.62
09/1953 6.75
09/1953 6.89
09/1953 7
09/1953 7.33
09/1953 7.27
09/1953 7.51
09/1953 7.73
09/1953 7.84
09/1953 7.91
10/1953 8
10/1953 8.2
10/1953 8.43
10/1953 8.36
10/1953 8.33
10/1953 8.35
10/1953 8.87
10/1953 8.82
10/1953 8.83
10/1953 8.95
10/1953 9.28
10/1953 9.18
10/1953 9.29
10/1953 8.99
10/1953 8.64
10/1953 8.87
10/1953 9.33
10/1953 9.51
10/1953 11.12
10/1953 10.33
10/1953 10.33
10/1953 10.93
10/1953 12.94
10/1953 12.85
10/1953 10.09
10/1953 9.03
10/1953 9.44
10/1953 9.96
10/1953 11.33
10/1953 11.71
10/1953 12.44
11/1953 12.64
11/1953 12.45
11/1953 12.75
11/1953 13.71
11/1953 13.28
11/1953 14.27
11/1953 13.85
11/1953 14.04
11/1953 15.33
11/1953 16.36
11/1953 16.25
11/1953 14.72
11/1953 13.11
11/1953 13.96
11/1953 13.97
11/1953 13.85
11/1953 14.06
11/1953 13.55
11/1953 13.43
11/1953 14.17
11/1953 13.15
11/1953 12.09
11/1953 11.44
11/1953 10.18
11/1953 10.2
11/1953 9.9
11/1953 10.57
11/1953 10.1
11/1953 10.48
11/1953 9.97
12/1953 10.59
12/1953 10.8
12/1953 11.68
12/1953 11.75
12/1953 11.08
12/1953 11.31
12/1953 11.27
12/1953 11.41
12/1953 11.37
12/1953 11.81
12/1953 12.19
12/1953 12.51
12/1953 13.63
12/1953 13.65
12/1953 12.74
12/1953 12.76
12/1953 12.42
12/1953 11.54
12/1953 11.21
12/1953 11.04
12/1953 10.81
12/1953 11.52
12/1953 11.31
12/1953 10.84
12/1953 9.74
12/1953 9.63
12/1953 10.02
12/1953 9.82
12/1953 9.73
12/1953 9.49
12/1953 9.11
01/1954 8.55
01/1954 8.7
01/1954 8.15
01/1954 7.43
01/1954 7.37
01/1954 8.16
01/1954 7.56
01/1954 7.28
01/1954 6.68
01/1954 7.18
01/1954 6.87
01/1954 6.69
01/1954 6.85
01/1954 6.85
01/1954 6.83
01/1954 7.08
01/1954 7.93
01/1954 8.21
01/1954 8.06
01/1954 8.18
01/1954 8.49
01/1954 9.12
01/1954 8.44
01/1954 8.4
01/1954 8.32
01/1954 7.82
01/1954 7.68
01/1954 8.07
01/1954 8.36
01/1954 8.7
01/1954 8.39
02/1954 8.71
02/1954 8.95
02/1954 8.59
02/1954 8.37
02/1954 8.92
02/1954 9.17
02/1954 8.96
02/1954 9.27
02/1954 9.34
02/1954 8.95
02/1954 8.6
02/1954 7.91
02/1954 7.45
02/1954 8.34
02/1954 8.33
02/1954 7.86
02/1954 7.79
02/1954 7.94
02/1954 8.42
02/1954 8.55
02/1954 8.71
02/1954 9.07
02/1954 8.64
02/1954 8.43
02/1954 8.19
02/1954 8.59
02/1954 8.51
02/1954 8.26
03/1954 7.95
03/1954 7.7
03/1954 7.72
03/1954 7.74
03/1954 7.83
03/1954 7.72
03/1954 7.73
03/1954 7.93
03/1954 7.78
03/1954 7.32
03/1954 6.93
03/1954 6.73
03/1954 6.53
03/1954 5.97
03/1954 6.83
03/1954 6.9
03/1954 7.2
03/1954 7.11
03/1954 6.74
03/1954 6.47
03/1954 6.04
03/1954 5.81
03/1954 5.47
03/1954 6.01
03/1954 6.34
03/1954 6.11
03/1954 5.88
03/1954 5.47
03/1954 5.49
03/1954 5.4
03/1954 5.51
04/1954 5.17
04/1954 5.26
04/1954 4.86
04/1954 4.83
04/1954 4.88
04/1954 5.19
04/1954 5.22
04/1954 5.15
04/1954 5.75
04/1954 6.38
04/1954 6.7
04/1954 6.82
04/1954 6.99
04/1954 6.73
04/1954 6.81
04/1954 7.28
04/1954 7.48
04/1954 7.79
04/1954 7.83

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