Elaborate how one can estimate the unrestricted VAR model and VECM.

Expert Solution

Rahul Sunny answered 2 years ago

a) Explain what is meant by unrestricted Var models b) Explain how one can estimate the...

a) Explain what is meant by unrestricted Var models b) Explain how one can estimate the unrestricted Var model c) Explain how VECM can be estimated

In your own words, describe how VAR could be utilized to estimate the impact of adding...

In your own words, describe how VAR could be utilized to estimate the impact of adding new projects to a firm. Do you feel there is anything management can do to mitigate the operating leverage of the firm to control the VAR of future investments? For example, how are financial and operating leverage related? 300 words

Suppose we estimate the one-day 95% VaR from 1,200 observations as 6 (in millions of dollars)....

Suppose we estimate the one-day 95% VaR from 1,200 observations as 6 (in millions of dollars). By fitting a standard distribution to the observations, the probability density function of the loss distribution at the 95% point is estimated to be 0.02. What is the standard error of the VaR estimate?

Suppose we estimate the one-day 97.5% VaR from 1,100 observations as 5 (in millions of dollars).

Suppose we estimate the one-day 97.5% VaR from 1,100 observations as 5 (in millions of dollars). By fitting a standard distribution to the observations, the probability density function of the loss distribution at the 97.5% point is estimated to be 0.04.a) The standard error of the VaR estimate is ___________million.

Explain why the linear model can provide only approximate estimates of VaR for a portfolio containing...

Explain why the linear model can provide only approximate estimates of VaR for a portfolio containing options

Suppose that we back-test a VaR model using 300 days of data. The VaR confidence level...

Suppose that we back-test a VaR model using 300 days of data. The VaR confidence level is 99% and we observe 10 exceptions. Do we reject the model?

Can you elaborate on how increasing CO2 concentrations can affect Arabidopsis thaliana and how it can...

Can you elaborate on how increasing CO2 concentrations can affect Arabidopsis thaliana and how it can respond to stress conditions and also predict how it will behave in future to any climate changes.

1) A risk analyst is trying to estimate the credit VaR for a risky bond. The...

1) A risk analyst is trying to estimate the credit VaR for a risky bond. The credit VaR is defined as the maximum unexpected loss at a confidence level of 99.9% over a one-month horizon. Assume that the bond is valued at $1,000,000 one month forward, and the one-year cumulative default probability is 2% for this bond. What is the credit VaR for the bond, assuming no recovery? 2) Mr. Rosenqvist, asset manager, holds a portfolio of 100 million, which...

Suppose you want to conduct an Exclusion Restriction Test. You estimate the Unrestricted Linear Regression with...

Suppose you want to conduct an Exclusion Restriction Test. You estimate the Unrestricted Linear Regression with the number of homes for sale as the dependent variable and the population in the area, the population density of the area, unemployment rate, the fraction of the population over 65 years of age as independent variables. You estimate the Restricted Linear Regression with the number of homes for sale as the dependent variable and the population in the area and the population density...

Company A asked you to estimate the Value at Risk (VAR) for receivables from Vietnam and...

Company A asked you to estimate the Value at Risk (VAR) for receivables from Vietnam and Singapore. Please describe in detail to Mr. AA what VAR measures and detail the process you would undertake to estimate VAR for Siam Cement. Please also include the potential drawbacks of the VAR method and what steps you would undertake to mitigate these drawbacks.

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