Subject Code : MAF760
Assignment Task:
MAF760:  International Finance Assignment Help

You have recently been employed as a financial analyst to advise on the trading strategy for investing in the Australian dollar in a major Investment bank in Australia. You have been trained in the importance of foreign exchange rate forecasting stemming from the fact that the outcome of the bank’s decision taken now is contingent upon the value of the exchange rate prevailing sometime in the future, which you aim to forecast with utmost accuracy.

The bank’s decisions pertain to a variety of activities, including speculation, hedging, investment, financing, pricing and strategic planning. Your forecast also feeds into the Technical Analysis and Mechanical Trading Rules Department of the bank which reports buy and sell signals. Your first assignment is to perform a thorough analysis using the foreign exchange rate between Australian and the US, S(USD/AUD). You note that the exchange rate is expressed in the indirect quotation from the Australian perspective. Using your skills, knowledge, training, and experience perform the following tasks:

a. Draw continuously compounded returns of S(USD/AUD) graphically which can extract information on the distributional characteristics of the returns. What kind of distribution features you find.

b. Using 68–95–99.7 normal rule of thumb, provide evidence that the distribution of the returns of S(USD/AUD) is different from the normal.

c. Compare artificially (normally) created returns data with that of the actual returns with a valid graphical presentation. What characteristics of the returns do you look for to gauge differences in the two returns?

d. What is your assessment for the directional move of S(USD/AUD) the next day based on your intuition and then based on a valid statistic?

e. How would you convince your team to advise the client on whether to invest or not to invest in S(USD/AUD) for the next 30 days? Your argument must be based on an
acceptable hypothesis testing procedure.

f. What can you say about the efficiency of the FX market? Base your discussion on the following task:

• Estimate the following models for S(USD/AUD):
i. rrtt = μμ + εεtt, Random Walk Model (RWDM)

ii. rrtt = μμ + ρρrrtt−1 + εεtt, Autoregressive of order 1 (AR(1)) model

Note: Use last 100 trading days’ data: first 90 observations for estimation window and the last 10 observations for the holdout period.

• Compute the individual forecasts and composite forecasts of S(USD/AUD) from the above models in the holdout period. Use regression method for weights in
composite forecasts. Present the forecasting accuracy measures of MAE, MSE, and RMSE for forecasts. Report the best model for the forecast.

g. Perform a risk assessment analysis for the next 100 days for the USD1 million invested in AUD in terms of 1% VaR with historical, parametric, and simulated methods. What are the risk implications for your investments on a daily basis?

h. Video presentation. (Not more than 2 minutes)

• What implications do you draw about the International Finance’s key variable exchange rate for its distributional characteristics and its market efficiency?

 


This MAF760: Finance Assignment has been solved by our Finance experts at UniLearnO. Our Assignment Writing Experts are efficient to provide a fresh solution to this question. We are serving more than 10000+ Students in Australia, UK & US by helping them to score HD in their academics. Our experts are well trained to follow all marking rubrics & referencing style.

Be it a used or new solution, the quality of the work submitted by our assignment experts remains unhampered. You may continue to expect the same or even better quality with the used and new assignment solution files respectively. There’s one thing to be noticed that you could choose one between the two and acquire an HD either way. You could choose a new assignment solution file to get yourself an exclusive, plagiarism (with free Turnitin file), expert quality assignment or order an old solution file that was considered worthy of the highest distinction.

Eureka! You've stumped our genius minds (for now)! This exciting new question has our experts buzzing with curiosity. We can't wait to craft a fresh solution just for you!

  • Uploaded By : Noah
  • Posted on : December 26th, 2018

Whatsapp Tap to ChatGet instant assistance