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