Midterm Project

OVERVIEW

For your midterm project, which is worth 30 percent of your total grade, you will prepare a paper on VaR (value at risk). The requirements for your paper are described below.

REQUIREMENTS

Include the following elements in your midterm project.

The body of your paper, not including a title page and any reference/citation pages, should be between 3000 and 3750 words. With a typical font and double spacing, this will be approximately 12 to 15 pages.

After each element below is a suggested length in pages. These suggestions are meant to help you plan your project. They are not required lengths for individual parts.

1. Provide a description of VaR and information on its origins and history. [12]
2. Discuss the three primary measures of VaR, including the variance/covariance method, historical simulation, and Monte Carlo simulation. [56]
3. Compare and contrast the methods in terms of the accuracy and reliability of the VaR estimates obtained.
4. Discuss the pros and cons of each method.
5. Discuss and evaluate at least three criticisms of VaR as a risk measure. [23]
6. Analyze at least two variations/modifications of VaR. [2]
7. Provide sample calculations using the variance/covariance and historical simulation methods. [12]
8. Conclusion. Tie your paper together with a brief conclusion. [up to 1]

Your paper should conform to APA style in terms of in-text citations and the list of works cited. It should display a clear style and proper grammar, spelling, and punctuation. It should discuss course concepts coherently and competently.

GRADING CRITERIA

The course site includes a link to the rubric that will be used to grade your paper.

WRITING AND RESEARCH RESOURCES

The following links provide online writing and research aids to help you with your paper assignments.

• [Online Writing Lab] at Purdue University
• , the Writing Center at the University of WisconsinMadison
• (an online guide from the New Jersey State Library to assist you in starting your research, searching databases for articles, citing sources, using ILLiad to request books or articles, etc.]