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Value-at-Risk (VaR) of a portfolio. Financial Risk Management Paper
Financial Risk Management
Max word count 2000 words, not including mathematics
Answer ALL FIVE parts. Each part carries the same number of marks.
Your paper AND the Excel spreadsheet used to compute the answers to parts 3, 4 and 5
should be emailed to
- What is the Value-at-Risk (VaR) of a portfolio? Describe the roles of the two model parameters, holding period h and significance level a and the effect they have on VaR. Also define expected shortfall (ES). What is the relationship between VaR and ES?
[20 Marks]
- Define how VaR and ES can be estimated in (a) the normal linear model and (b) the historical simulation model. Explain this in detail, using properly defined mathematical notation.
[20 Marks]
- Using the daily price data on the S&P500 index provided in the Excel spreadsheet N1569 RESIT DATA compute the daily returns and hence calculate the a% h-day VaR and a% h-day ES using the normal linear model. Report your answers as a percentage of the portfolio value and for a selection of appropriate choices for h and a.
[20 Marks]
- Using the same data as for part 3, calculate the hence calculate the a% h-day VaR and a% h-day ES using the historical simulation model. Report your answers as a percentage of the portfolio value and for a selection of appropriate choices for h and a.
[20 Marks]
- Compare and contrast the advantages and limitations of the normal linear and historical simulation models by discussing their general properties. Illustrate your arguments by referring to your numerical answers in parts 3, 4.
[20 Marks]
Notes to students:
You may use any information available on the canvas site or elsewhere to help you with your answers to the written and numerical questions. However, be careful NOT to copy and paste from any public sources because there can be penalties for Turnitin scores.
A good answer will:
- Define VaR and its parameters
- Outline the steps to building the two different VaR models
- Explain how the models differ, and use mathematical notation (and diagrams, where appropriate) to describe how VaR is calculated in each model
- Define ES and describe how it is calculated in each model
- Describe the data by plotting prices and daily returns
- Report the results for each VaR model for different parameters
- Discuss these results, and explain why they are different
Accounting for Decision Making
Question 1
Horn Products Ltd manufactures two types of perfumes – Ladies and
Men. Both perfumes are produced using the same equipment and
similar processes. The following budgeted data has been obtained for
the year ended 31 December 2019.
[Data in table attached]
Required:
Write a brief report to the Managing Director of Horn Products Ltd. This
report should have an introduction, body and conclusion.
(Maximum word limit: 500 words)
This report should cover the following areas:
• Explain how an activity-based costing (ABC) system differs from a
traditional absorption costing system. (5 marks)
• Calculate the unit costs for each type of perfume using:
a. The traditional costing method. (10 marks)
b. The proposed activity-based costing approach. (15 marks)
• Discuss your results in (a) and (b) above. (5 marks)
• Explain the advantages and disadvantages of using ABC.
(10 marks)
• Discuss the potential difficulties the company might face in
changing to ABC. (5 marks)
Ethical Nursing Issues (Healthcare Fraud)
Overview
As a profession, nursing has ethical responsibilities. In the practice of nursing, legal and ethical issues often arise, and the nurse must understand them and take appropriate steps to address them. Ethics and legal issues involve professionalism, practice concerns, health policy,
reimbursement issues, and the organizations that provide health care (Finkelman, 2019).
Focus: The focus of this assignment is the ethical principles and how they apply to making ethical decisions.
*Please review the Week 2 Instructional Recording and Tutorial on Turn-It-In.
***Please note that you MUST include a running head in your APA paper. This is based on each institutional preference.
Directions for Writing Assignment (WA):
**Access all Turnitin Assignments (Writing Assignments) through the Moodle link within this week. Do not make your own account.
*You must review the Writing Assignment Rubric within this week’s content prior to starting your paper.
*Select and research one (of your selected) legal/ethical issues discussed in chapter 6 of your textbook -or- identify ONE issue from current
events. Nursing/medical issues are strongly encouraged. *Pick only ONE topic.
*Write a 3-5 page paper in APA format, page count excludes the title and reference page.
*A minimum of 4 references are required. References must be recent which is less than five years old, and from the United States- your textbook is not a journal.
*If you want to use more than 4 references they must all be current and peer reviewed sources.
*Abstracts are not required for writing assignments in this course.
**Articles must be “current” 5 years old or less and research based in the United States.
THE ETHICAL ISSUE I WOULD LIKE IS HEALTHCARE FRAUD.
Cover the following items in your Writing Assignment:
(1) Define the issue (introduction),
(2) What is (are) the ethical principle(s) related to the issue? Here are the Ethical Principles from your text book: Autonomy, Beneficence,
Justice, and Veracity. Ethical principle(s) are required in this writing assignment. Relate one, two, or more principles to your ethical issue in your paper.
(3) Provide a detailed definition the ethical principle(s) identified and how it applies to this situation.
(4) Significance to nursing-patient care.
(5) Conclusion- Summarize your paper and draw your conclusion.
Note: You should not enter new information in the conclusion.
(6) Use appropriate headings for the various sections of your paper.
(7) The title of your paper is unique to your topic. Do not use the headings in the textbook, and create your own title. *Please do not use any facility names in your document for confidentiality purposes.