| Questions | Answers |
| Normal RW | |
| Which is your preferred model? | _______________________ |
| What is the Var(10,99%) for the portfolio for September 2? | -0.372% |
| Discuss why this was your preferred model. | Preferred model is Normal RW. The is best suited for estimation of the VAR fo the portifolio due its excedance probability of 0%. This implies that no situation where risks/loss are exceding return, and hence it’s good for zero rating risk. At the same time the VAR is negative, indicating very low chance of errors/loss.At same time the model can be used to get a complete set of rolling standard deviations across a very large data set. |
