EF5123 Project Project Objective This project is a continuation of Problem Set I in computing increasingly rened 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 specications 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 dis- cussing and interpreting your ndings. 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 specication/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 dened in Problem Set I:  IS: 20080102-20131231  OOS: 20140102-20160129 Submission This project counts toward 50% of the nal mark. You are encouraged to have discussion sessions among yourselves but you must submit individual reports. Sub- missions 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