Assignment Help - homework help

Calculate portfolio var


Problem: A trader at a bank holds a portfolio consisting of a $300,000 position in asset A and a $500,000 position in asset B.

a. Assume the daily volatility of asset A is 1.8% and that of asset B is 1.2%, and the the correlation between their returns is 0.2 (ie. 20%). What is the 3-day, 95% value at risk for the portfolio?

b. Calculate portfolio VAR for (a) if correlation assumes the following values:

  • -100%
  • -50%
  • 0%
  • +50%
  • +100%

Compare porfolio VAR for +100% and -100% with the position VARs

Solution Preview :

Prepared by a verified Expert
Other Management: Calculate portfolio var
Reference No:- TGS02001426

Now Priced at $25 (50% Discount)

Recommended (94%)

Rated (4.6/5)