Laboratorul 8

1. Grafic evolutia AMV (Market Assets Value) pentru JP Moorgan (bank 142);

. tsline X
gen AMVbank142_bil= AMVbank142/1000000000
label variable AMVbank142_bil "Assets market value JP Morgan (bil. usd)"
tsline AMVbank142_bil

2. Grafic evolutia rentabilitatii activelor la valoarea de piata (RetAMV);

3. Grafic evolutia indicilor de piata;

. tsline X1 X2...
. tsline spread_3mrepo_3mtbill
. tsline change_3mtbill
. tsline spread_10ybond_3mtbill
. tsline spread_moodybaa_10ybonds
. tsline vix
. tsline returnmsci
. tsline spread_retrealest_retmk

4. Corelatii;
. correlate X1 X2 ...
. correlate spread_3mrepo_3mtbill change_3mtbill spread_10ybond_3mtbill
spread_moodybaa_10ybonds vix returnmsci spread_retrealest_retmk

s~3mre~l change~l s~10yb~l spread~s vix return~i spread~k

spread_3mr~l 1
change_3mt~l -0.1059 1
spread_10y~l -0.5544 0.0132 1
spread_moo~s -0.2116 0.0653 0.5431 1
vix 0.0314 0.0146 0.3822 0.7991 1
returnmsci -0.074 0.0136 -0.0313 -0.0145 -0.1131 1
spread_ret~k -0.0265 0.0046 0.0201 -0.0334 -0.1969 0.0078 1

5. Stationaritatea variabilelor;
. dfuller X, lags(0)
. dfuller spread_3mrepo_3mtbill, lags(0)
. dfuller change_3mtbill, lags(0)

1
 . dfuller spread_10ybond_3mtbill, lags(0)

. dfuller spread_moodybaa_10ybonds, lags(0)

. dfuller vix, lags(0)

. dfuller returnmsci, lags(0)
. dfuller spread_retrealest_retmk, lags(0)

!!! Probleme pentru spread_10ybond_3mtbill &spread_moodybaa_10ybonds

 Sunt necesare transformari pentru a face seriile stationare
gen ds_10ybond_3mtbill = d.spread_10ybond_3mtbill
label variable ds_10ybond_3mtbill "Change in Spread_MoodyBaa_10yBonds"
gen ds_moodybaa_10ybonds = d.spread_moodybaa_10ybonds
label variable ds_moodybaa_10ybonds "Change in Spread_MoodyBaa_10yBonds"

. correlate correlate spread_3mrepo_3mtbill change_3mtbill ds_10ybond_3mtbill

ds_moodybaa_10ybonds vix returnmsci spread_retrealest_retmk

. summ spread_3mrepo_3mtbill change_3mtbill ds_10ybond_3mtbillds_moodybaa_10ybonds

vix returnmsci spread_retrealest_retmk

6. Analiza impactului indicilor de piata asupra rentabilitatii activelor la valoarea de

piata (RetAMV) si estimarea indicatorului Value at Risk prin regresia quantilica
(Quantile Regression). Comentati impactul indicilor de piata. (Comanda Stata:
qreg)

. gen l_MI1 = l.MI1

...
. qreg RetAMVbank142 l_MI1 l_MI2 ... l_MI6 Crisis, q(0.01)
qreg RetAMVbank142 l_mi_* Crisis, q(0.01)

. predict VaR1 if e(sample)

label variable VaR1 "VaR 1% (linear prediction)"

. qreg RetAMVbank142 l_MI1 l_MI2 ... l_MI6 Crisis, q(0.05)

qreg RetAMVbank142 l_mi_* Crisis, q(0.05)
. predict VaR5 if e(sample)
label variable VaR5 "VaR 5% (linear prediction)"

7. Grafic cu evolutia riscului individual (Value at Risk).

. tsline VaR1

2
 . tsline VaR3

8. Statistici descriptive pentru riscul individual (Value at Risk) si indicii de piata

folositi in estimare.
summarize VaR1 VaR5, d