ETF5952 QUANTITATIVE METHODS FOR RISK ANALYSIS
Semester 2, 2017
ASSIGNMENT 1
· This assignment comprises 10% of the assessment for ETF5952.This is an individual, NOT a syndicate, assignment. On the Assignment Cover Sheet, read the references to plagiarism and collusion from University Statute 4.1. Part III – Academic Misconduct.
· Deadline: 6pm on Friday, 18 August, 2017
· Submission:
1. Your assignment must be typed and you must submit a printed “hard copy” with an Assignment Cover Sheet (from the “ASSIGNMENTS” section of Moodle). Submit it in your tutorial before the due time, or submit it to your tutor’s mailbox, 5th floor H Block. For each day that it is late, 10% of Assignment’s allocated marks will be deducted. Do not submit your assignment in a folder and stapleA4 pages.
2. Name your assignment: Surname-Initials_A1.docx or Surname-Initials_A1.pdf (eg. Trump-DJ_A1.docx) and Upload this file to Moodle (as a backup) – as follows:
· Go to the “ASSIGNMENTS” section.
· Click on the “ASSIGNMENT 1” link to upload.
· The following message will appear momentarily, “File uploaded successfully.”
(To later confirm your upload was successful, go to the “ASSIGNMENTS” section and click. On the “Assignment 1” uploading link. The uploaded file’s name will be shown.)
Note: DO NOT submit any Excel files. You may upload ONE file only.Retain your marked assignment until after the publication of final results for this unit.
· Your tutor will NOT print or mark your assignment from Moodle.
· You are required to
o Answer all questions.
o Write your answer succinctly and include big tables and figures as appendices with appropriate labels. (If you have trouble pasting figures and tables in your document, you could print them out separately.)
· If you find possible typos or mistakes in this Assignment, please contact a lecturer or tutors to clarify the questions for you. Also, if you have any other questions, please use consultation time.
ETF5952 QUANTITATIVE METHODS FOR RISK ANALYSIS 代写
Plagiarism
Intentional plagiarism amounts to cheating in terms of University Statute 4.1. Part III – Academic Misconduct.
Plagiarism: Plagiarism means to take and use another person’s ideas and or manner of expressing them and to pass these off as one’s own by failing to give appropriate acknowledgement. This includes material from any source, staff, students or the Internet – published and unpublished works.
Collusion: Collusion is unauthorised collaboration with another person or persons.
Where there are reasonable grounds for believing that intentional plagiarism or collusion has occurred, this
will be reported to the Chief Examiner, who may disallow the work concerned by prohibiting assessment or
refer the matter to the Faculty Manager.
QUESTION 1 (Total 80 points and Each item 10 points)
The file, CEO.xls, contains some CEOs’ information. The list of variables is as follows:
· Company ID Number
· Total Compensation ($ thousands) for CEO
· Years in current position
· Change in Stock Price from previous year (%)
· Change in Company's Sales from Previous Year (%)
· MBA (1 for Yes and 0 for No)
Using the data set, answer all questions below.
1. Obtain mean, median and mode of all six variables and report them in a table. Which mean is the most uninformative?
2. Report histograms of four variables: Total Compensation, Years in current position, Change in Stock Price and Change in Company's Sales.
o First, use automatic bin sizes. Second, set the number of bins equal to 11.
3. Using result in 1 and 2, explain why the mean and median of total compensation differs (less than 50 words).
4. Report standard deviations, ranges and inter quartile ranges of five variables: Total Compensation, Years in current position, Change in Stock Price, Change in Company's Sales and MBAin a table. According to those variation measures, which variable has the highest variation?
5. Report box plots for the five variables used in 4, separately. Are those plots consistent with the result you obtain in 4?
6. Using result in 1 and 5, report the coefficient of variation (CV) of those five variables in a table. According to the CV, which variable has the highest variation?
7. Report a table of correlation among the five variables used in 5. Also, obtain scatter plots of a pair of Total Compensation and Change in Stock Price and another pair of Total Compensationand Change in Company's Sales (use Total Compensation as X variable).
8. Implement the following procedure:
o Create a variable that takes 1 if Years in current position is 2 years or less and zero otherwise. (Hint: click a menu bar of StatTools->Data Utilities->Dummy).
o Construct two subsets of the original sample according to the created variable (1 or 0). (Hint: StatTools->Data Utilities->Unstuk).
o Using the two sub-samples separately, report a correlation table of Total Compensation, Change in Stock Price and Change in Company's Sales.
In terms of correlation coefficients obtained in 8, do you find any differences between CEO with two years or less in his/her current position and the one with three years or more? How do you explain the differences if any (less than 80 words)?
Question 2(Total 20 points and each item 10 points)
The file, Stock_Sun.xls, contains monthly data of monthly average of sunspots and monthly return of S&P 500.
1. Obtain a time-series plot of sunspots and monthly return in the same figure. Also, report a correlation coefficient of those variables and interpret it succinctly (less than 30 words).
2. Crate a variable of monthly return with one-month lag (Hint: StatTools->Data Utilities->Lag) and obtain a correlation coefficient of monthly return and its lagged variable. Provide an explanation to rationalize the result (less than 50 words).
FEEDBACK FOR THIS ASSIGNMENT
will be provided
· by the detailed solutions on Moodle.
· by tutors indicating areas on the submitted work where mistakes have been made and referring students to consult the solutions on Moodle.
If you still have difficulties, then you should consult a staff member.
(See the “STAFF and CONSULTATION” section on Moodle.)
Troubleshooting
· When tasks are undertaken in StatTools and Excel, unseen tables or worksheets are created in the background. For example, when a graph is created, the underlying coordinates of the points being plotted may be stored in an unseen worksheet.
So, if you are using both StatTools and Excel (eg, Pivot Tables) on a set of data, occasionally some of these background items may conflict and prevent you from performing your task. If this occurs, use a fresh copy of your data file for the failed tasks.
· If StatTools gives an error when you attempt to place output in the “Active Sheet”, just place the output in a “New Worksheet in Active Workbook”.
Excel Tips
Cell comments
· A cell with a red triangle in the upper right-hand corner contains a comment. The comment may be read by hovering the cursor over that cell.
To Copy a selected part of your spreadsheet and Paste it into a Word document
· Select the required cells and click on the “Copy” icon.
· Go to Microsoft Word and Paste the selection by clicking on the downwards triangle of the Paste icon. Select Paste Special/Picture (Enhanced Metafile).
An alternative to the procedures above is to press the “Print Scrn” key when your spreadsheet is on display. This captures an image of your screen, which you may then Paste into a Word document. Use Microsoft Word’s “Crop” tool
to reduce the image to your desired selection.To alter the page margins, in order to optimise the use of a page before printing it
· Select /Page Layout/Margins at the top of the screen (Excel or Word).
To print in “Landscape” view,rather than in “Portrait”
view· Select Page Layout/Orientation/Landscape before printing.
To print the gridlines which border the cells of a spreadsheet
· From the top of the screen, select Page Layout/Sheet Options/Gridlines/Print
To print the Row (“1”, “2”, “3”, etc) and Column (“A”, “B”, “C”, etc) headings
· From the top of the screen, select Page Layout/Sheet Options/Headings/Print
 |
If you are unable to make Excel display the Row and Column headings clearly on your printout, then write them on by hand.
To sort a data set
For example, to sort by Salary the data in Questionnaire Data.xlsx(Week 1 lecture),
· select the cells of the entire data set (A1:G31) and click on “Data” at the top of the screen.
· Under “Sort & Filter”, select “Sort”.
· In the Sort dialogue box, ensure that you tick “My data has headers”.
· In the “Sort by” drop down menu, select Salary. OK.
The entire data set (not just the Salary column) will now be sorted by Salary.
Word Tips
To capture a screen image & “Paste” it into Word
To capture the image (any image, eg, an Excel page, an internet page, a photo, etc) currently displayed on your screen,
· press the Print Scrn button on your keyboard.
· go to the desired location in your Word document. Hold the Ctrl key and press the letter “V”.
The “Snipping Tool” (available via START button/Programs/Accessories in many Windows versions) is very useful too.
To copy a table or graph from Excel& “Paste” it as an image into Word
· Select, then “Copy” the table or graph in Excel.
· Go to the desired location in your Word document. From the top of the screen, select “Paste”, “Paste Special”, then “Picture (Enhanced Metafile”).
To trim (“Crop”) an image in Word
· Select View/Toolbars/Picture and click on the “Crop” icon:
· Apply the “Crop” icon to the image.
To arrange graphs and pictures within a “Word” document
Graphs (eg, from Excel) and pictures can be more manageable if you insert a table into Word and place your graphs and pictures (and text) into cells of the table.
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