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Assessment Dissertation for Corporate and Financial Risk Analysis
1)
Study the definition of hedge funds, study the investment strategies of hedge funds defined in IAM Strategy Definitions file.
Must explain how such strategies can be monitored and executed in real life situations using examples. Examples should involve at least one real asset with prices downloaded from Yahoo Finance or from IAM data sheets, explain the reason why you decide to choose data from Yahoo or from IAM sheets.
2)
Study the quantitative aspects of hedging, using options and/or complimentary assets (eg. Oil and airline) to see if such strategies make sense. Must use asset prices from yahoo or IAM data sheets 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:
l
VaR
l
Expected Tail loss
l
Omega
l
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 from IAM data sheets.
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 EXCEL/VBA or MATLAB must be displayed clearly.
4)
Hand in deadline is as indicated in study-direct.
5)
Paper submission to school office please.上面这些是要求，熟悉写作的请联系 QQ 184350134 注明“MATLAB写作” ，写作要求是全英文，没能力的勿扰
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