Assessment Dissertation for Corporate and Financial Risk Analysis

1) Study the definition of investment / hedge / etf funds, study the investment strategies of these types of funds. Explain excessive returns.

Discuss what kind of benchmarks can be used in respective situations.

2) Study the quantitative aspects of hedging, using options and/or complimentary assets (eg. Oil and airline) to see if such strategies make sense. Use real life data in illustration. The results must be performance comparison, in figures or graphs, not general statements.

3) Explain the role of risk analysis in portfolio protection and how such analysis should be implemented in practice.

4) Study the coherence definition for risk functions, use concrete example to illustrate why coherence and incoherence are needed in different circumstances (cf. the IAM discussion paper).

5) Take a couple of risk functions to verify, using numerical examples, if they are coherent or incoherent. (cf. IAM discussion papers)

6) Study the definition of the following risk functions and how they are computed using MATLAB with concrete examples:

.VaR
.Expected Tail loss
.Omega
.Drawdown

3) Explain the role of risk analysis in portfolio protection and how such analysis should be implemented in practice.

4) Study the coherence definition for risk functions, use concrete example to illustrate why coherence and incoherence are needed in different circumstances (cf. the IAM discussion paper).

5) Take a couple of risk functions to verify, using numerical examples, if they are coherent or incoherent. (cf. IAM discussion papers)

6) Study the definition of the following risk functions and how they are computed using MATLAB with concrete examples:
.VaR

.Expected Tail loss

.Omega

.Drawdown

7) Use some of the Peer Group data to construct a 20 variable VaR function, minimize it using MATLAB Optimization Tool Box. Choose sub-time intervals to compare the performance of thus formed portfolio against equal-weight ETF.

Remark:

1) You are encouraged to explain more about the data sources and how they can be obtained.

2) There is no limit on number of words but should avoid over explanation, figures and data tables are more powerful tools in risk analysis.

3) Programs in EXCELNBA or MATLAB must be displayed clearly.

4) Hand in deadline is as indicated in study-direct.

5) Submission to school office please.