Answer Happy

1. Retrieve the most recent ten years of data of two stocks or any two assets from Bloomberg (for students who have access to Bloomberg terminals) (10 points) 2. Separate the ten years of daily data into two sub-periods. Period 1 and Period 2 (a) Produce summary statistics of the distribution of returns for each asset over the two periods and the overall 10-year period (The summary statistics should include relevant risk metrics including standard deviation of returns, skewness of returns, Sharpe ratio, and so on. (10 points) (b) Report the 1-day and 5-day 1% VaR, 1% CVaR, 5% VaR, and 5% CVaR; compare the observed VaR and CVaR with those estimated from a normal distribution. (10 points) Hints to save space: put (b) under the tables in (a) (c) Produce diagrams showing the distribution for each asset over each period using only daily returns. Point out and show the 1%, 5%, VaR and CVaR (10 points) Hint: do not plot according chronological order, plot according to return from -ve to +ve