Choose five risky assets you wish to work with. Download daily prices for your five chosen assets for the most recent year. You can use Bloomberg...

1.    Choose five risky assets you wish to work with. Download daily prices for your five chosen assets for the most recent year. You can use Bloomberg for this. Alternatively, you can use WRDS database. You will need to request a password for WRDS and once you receive this password, you can access the data from home. The returns in prices are in the dataset, called CRSP. Unfortunately, CRSP does not have the most recent data, there is about 6 months lag.

You wish to invest $5M in these five assets. Decide on the amounts you wish to invest in each security. Use Chapter 14 from the Hull's book and the solved problem on historical simulation of VaR and EVT, posted in the Module 6 folder as an example.

2.    Find the ten-day 99% VaR for your portfolio using historical simulation approach.[1]

3.    Find the ten-day 99% VaR for your portfolio using the weighting-of observations procedure described in Section 14.3 of Hull's book.

4.    Find the ten-day 99% VaR calculated using the volatility-updating procedure described in Section 14.3 Use EWMA model with lambda equal to 0.94 (the RiskMetrics model) for volatility updating.

5.    Find the ten-day 99% VaR calculated using extreme value theory (EVT) described in Section 14.4.

[1] You can first calculate a 1-day VaR and then convert it to a 10-day VaR,