代写framework留学生、代做R编程语言、代写R设计、data代做

日期：2019-12-03 10:07

1 introduction

The second project you are going to do will apply what youve learned in this

class to a realistic situation. After the crisis of 2008 when the current framework

of risk management disproved itself, the emphasis of the regulators moved to

the stress scenario framework. In this framework you shock your portfolio to try

and envision what will happen with your portfolios if things go wrong. Your job

will be to apply those scenarios to the portfolios given below and recommend

action to withstand the shocks predicted.

2 Stress Scenarios - Federal Reserve

For the

scnerios please use:

1. Table A.3 in the document ( 2020 Treasury and Dow Jones Index )

2. Table A.5 the same variables. ( 2020 Treasury and Dow Jones Index)

1. Look on the severe and adverse scenarios and list the shocks to the different

factors

2. each Federal Reserve factor find an index that corresponds to this factor

that you will actually shock

3 data download

Once you identified the different indices you like to shock download the data

from Bloomberg for these indices or alternatively download it from: https:

//fred.stlouisfed.org. ( 10 years of history)

1. Calculate the Variance of the indices ( after you convert them to returns)

2. Calculate the expected return ( after the conversion!) Watch out for

units!!

You must do this exercise in Matlab or R. Excel code will be rejected and

automatically qualified as project failure.

4 Portfolio Shocks

The shocks you create are synthetic portfolio shocks. For each of the portfolios

below determine what will be the impact of portfolio stress tests. Supply

confidence intervals for your calculated regression coefficients. You can supply

the confidence intervals for the shocks themselves though it’s a much trickier

business. Data downloads must be done either from BB or St.Lious Fed. Any

other data source will be rejected.

1

1. Total stock market portfolio ( use the total stock market index as your

proxy)

2. 60% equity and 40% bonds portfolio ( use ML Broad index to model bonds

from St.Louis )

3. 50% equity and 50% US short bonds portfolio

4. 50% equity and 20% high yield and 30% treasury.

2