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

## 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

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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