Question
A share portfolio consists of 100 shares A and 200 shares B, which were acquired in t0 and have developed as follows t0 t1 t2
A share portfolio consists of 100 shares "A" and 200 shares "B", which were acquired in t0 and have developed as follows
| t0 | t1 | t2 | t3 | t4 | t5 | t6 | |
| Kurs A-AG | 220 | 224 | 236 | 221 | 218 | 225 | 220 |
| Kurs B-AG | 110 | 110 | 115 | 120 | 109 | 106 | 110 |
Please calculate the Value at Risk (VaR) 80 % confidence level using historical simulation for
a) Stocks "A" alone, b) "B" shares alone, c) Share portfolios consisting of "A" and "B" shares.
Why does the risk of the portfolio not correspond to the sum of the risks of the individual shares?
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Corporate Assessment Auditing A Company Personality
Authors: Adrian Furnham, Barrie Gunter
1st Edition
1138887641, 978-1138887640
