EF5123 Project Project Objective This project is a continuation of Problem Set I in computing increasingly refined risk measures and evaluating their Out-Of-Sample performance. Let IS and OOS be the In-Sample and Out-Of-Sample periods, respectively. Part A 1. For the best IS specifications 1-3, 4-6 and 7-9 of Problem Set I produce OOS 1-period-ahead forecasts of the 5%, 1% and 0.1% VaRs using: i. Extreme Value Theory ii. Filtered Historical Simulations iii. Filtered Weighted Historical Simulations 2. Produce OOS 1-period-ahead forecasts of the 5%, 1% and 0.1% VaRs using: iv. Historical Simulations v. Weighted Historical Simulations 3. Backtest your VaR forecasts i.-v. performing Unconditional Coverage Testing and Independence Hypothesis Testing. Part B 1. Produce OOS 20-, 60- and 120-periods-ahead forecasts of the 5%, 1% and 0.1% VaRs for i.-v. and the Gaussian case of Problem Set I. 2. Backtest the 20-, 60- and 120-periods-ahead VaR forecasts. Part C 1. Produce OOS 1-period-ahead forecasts of the Expected Shortfall for i.-v. 2. Backtest the Expected Shortfall forecasts. Report Once you have completed the empirical analysis prepare a technical report discussing and interpreting your findings. You should comment, among others, on: • the performance of the various approaches to VaR • the performance of the various approaches to Expected Shortfall • the sensitivity of the two risk measures to the specification/modeling of the conditional distribution Include Tables and Figures to either help better support your analysis or to use as counter-examples. Do not include irrelevant material such as lines of code, etc.EF5123 Project Data You are to perform your investigations on the Fama-French returns of the portfolio assigned to you in Problem Set I. The IS and OOS periods are those defined in Problem Set I: • IS: 20080102-20131231 • OOS: 20140102-20160129 Submission This project counts toward 50% of the final mark. You are encouraged to have discussion sessions among yourselves but you must submit individual reports. Submissions must be in pdf format and uploaded to Loop by midnight of May 18th. Plagiarism Make sure you read and understand the referencing guidelines found at: • http://www.dcu.ie/info/regulations/plagiarism.shtml • https://www4.dcu.ie/students/az/plagiarism