undergrad_project_var.xlsx | |
File Size: | 9509 kb |
File Type: | xlsx |
These were the main results for three days in 2012. We calculated VaR at 90% as well as 95%. We chose to look at three different days because we used the data from the London Whale fiasco of 2012. In April to May of 2012, JP Morgan lost billions of dollars due to risky trades.