BU7312
Page 2 of 5
© Trinity College Dublin, The University of Dublin 2021

Take Home Exam/Term paper (Essay writing): Market Risk Total Points: 100
Dead line of Submission: 21st May 09.30am

The take home exam on Market risk course should be completed individually. Students are
expected to provide a 10-15 pages (3500-5000 words) (excluding tables and figures) assignments
on the following topics/questions. The assignment/term paper will briefly describe the economic
and financial motivation, stylized fact of the topic, theories, questions to be addressed with
statistical and econometric information. In your answer, empirical explanation as precisely as
possible any terms or concepts which are underlined. The text for each answer should be precise,
but you should also include diagrams or examples where appropriate. You are asked to select
asset classes and identify the problem that received the attention in recent literature based on the
basic fundamental finance / economic theory. You may choose two or more asset classes.

Submissions must be under Submissions in Blackboard (Pdf). Shapes can be software-generated
but should be inserted into your document. Submit your answers in one single document. All
text should be written on a computer with word processing software. Please also note that the
exam is individual. This means that cooperation on solutions is not allowed and solutions
submitted that are obviously similar in language, and or content will not be accepted. Any form
of copying from internet or other sources and lack of citation or missing references is considered
as exam cheating. In case of doubt, the examiner reserves the right to check anyone's knowledge
of the solutions submitted through a supplementary oral examination. In this course, we check
the academic integrity in line with school’s guideline. It is allowed to use optional written aids,
such as the course literature, econometrics software and notes from the course. All answers must
be formulated in their own words.

All submissions must include the following statement

“I certify that I have taken note of the instructions and that in connection with this exam. I will
not cooperate in the form of sharing or taking part of other people's solutions, reasoning or
thoughts about the tasks”.








BU7312
Page 3 of 5
© Trinity College Dublin, The University of Dublin 2021


“Take Home Exam/essay” must have a title, and the following structure:

1. Abstract: The abstract includes: purpose, objective and key findings. (Maximum: 250-300 words)
2. Introduction: The introduction must grab the attention of the reader, and state the purpose of your
assignment.
2. Main body (Data and descriptive statistics): The main body of your essay should briefly discuss
your purpose of the assignment. You must use a several tables (and figures) to report your findings. In
the text, summarize the changes over time in the asset classes of your choice. Report your data sources
and variables as a note to your table. Sources or proper references or citation is required for statistical
information. Your discussion should be informed and informative about the specific set of international
data sources (Example: Bloomberg or others relevant sources).
3. Empirical Analysis and Discussion: Access, process and interpret a variety of data related to market
risk in portfolio diversification. You need discuss the recent literature and analytical methods used for
examining contemporary issues of economic development.
3. Conclusion: The conclusion should synthesize your findings.
4. References: APA Style.
5. Times New Roman 12 point


BU7312
Page 4 of 5
© Trinity College Dublin, The University of Dublin 2021



Expected elements or components:
Introduction (Expected elements or components)
1. Why did you choose these assets (at least two or three asset classes: for example: one equity and one
commodity future and one green bond or else). What are the key components of your asset classes?
Identify the potential challenges of your assets based on your understanding in the market risk theories
(asset pricing, market efficiency, asymmetric information) and application.

2. Identify the potential market risk at the global financial markets after 2000. Explain the underlying
mechanisms policy instruments of the market risk. Discuss the major theories associated with market
risk.

Data (Expected elements or components)
3. Collect Data from Bloomberg, yahoo finance, datastream international database or others relevant
sources (blackboard data file). Prepare the assignment based on your understanding of market risk,
volatility and portfolio diversification. Don’t just state your results mechanically but provide
economic explanations and motivations. It is very important to discuss the underlying mechanisms
and the economic intuitions underpinning the discussions.

4. The sample period 2000- present and daily or weekly or monthly frequency (based on availability).
Plot the data both on level and return series and interpret the stylized fact of the data. Prepare the
dataset before (pre-crisis) and after the global financial crisis (post crisis) or Prepare the dataset pre-
covid-crisis (before covid) and the global pandemic crisis or sub-sample analysis based on your asset
classes.
Descriptive statistics (Expected elements or components)
5. Calculate the return (average), Standard deviation, Variance, Skewness, Kurtosis and covariance,
coefficient of correlation of each assets (for example :Pair: like equity vs currency; equity vs bond)
and interpret the results based on your understating “market risk”.

6. Calculate ARCH and Q and Q2 test of your investigated original return series at the different lags
(5,10, and 15)

7. Compare the summary statistics and ARCH (5, 10) test, Q (5, 10) and Q2(5, 10) test: full sample vs
pre-crisis and full sample vs post crisis and interpret the results.

8. Do you think, economic policy uncertainty (EPU) and financial uncertainty (measured by VIX) and
Pandemic Uncertainty react similar way to your asset classes? How did the stock market and assets
react to the recent Coronavirus? Explain the systemic risk in your asset assets. Is tail dependence
observed in the asset classes? Is there any safe heaven properties is observed in your asset classes?


Empirical Results (Expected elements or components)

BU7312
Page 5 of 5
© Trinity College Dublin, The University of Dublin 2021

9. Compute the unconditional volatility or conditional volatility via GARCH type process or both and
compare the results and interpret the results based on your understanding on the market risk course.

10. Compute the unconditional (moving average) and dynamic conditional correlation of asset pair and
value at risk, plot the graph and explain it accordingly.

11. Compute the summary statistics (mean, standard deviation and variance) of equal portfolio weights,
hedge weights and optimum portfolio weight and interpret the result based on your understanding
portfolio diversification.

12. Explain and identify the potential local, regional and global risk or uncertainties factors in your asset
classes.

Conclusion (Expected elements or components)

13. Draw informed and conclusive conclusions and policy implication in the context of risk management.

Important Note: This assessment will be very strict about the prevalence of plagiarism and
others form of dishonesty. In this course, we check the academic integrity in line with the
Schools policies. “Pls. add estimation guideline/text in R code in the appendix (only one pair
case)”

Submission: Pls. upload assignment in pdf and word doc format and separate excel/text R-code file in the
in the blackboard or exam guideline suggested by the program.



































































































































































































学霸联盟