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3) Value of portfolio today is $100 million. Bank invest in; $30 million in LN(0:1, 0:1), $25 million in LN(0:12; 0:2), $45 million in LN(0:13;
3) Value of portfolio today is $100 million. Bank invest in; $30 million in LN(0:1, 0:1), $25 million in LN(0:12; 0:2), $45 million in LN(0:13; 0:6), Covariance matrix of the portfolio ; S = covariance matric = 0.1 0.04 0.04 0.2 0.03 -0.04 0.03 -0.04 0.6 ; a) Eport=? ,b) V port=? , Calculate VaR for 9R%, and c) 4 days d) 8 days d) 5 weeks time horizons. Note:R is the last digit of your regis atio number hel 3) Value of portfolio today is $100 million. Bank invest in; $30 million in LN(0:1, 0:1), $25 million in LN(0:12; 0:2), $45 million in LN(0:13; 0:6), Covariance matrix of the portfolio ; S = covariance matric = 0.1 0.04 0.04 0.2 0.03 -0.04 0.03 -0.04 0.6 ; a) Eport=? ,b) V port=? , Calculate VaR for 9R%, and c) 4 days d) 8 days d) 5 weeks time horizons. Note:R is the last digit of your regis atio number hel
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