An investor has an investment portfolio made up of financial assets of various kinds, such as 200 shares of a banking group, at a price of MXN 250 each, with a volatility of 2%; sovereign bonds in local currency, with a nominal value of MXN 10,000 at a price of 98%, with a volatility of 3%; sovereign bonds in foreign currency, with a nominal value of USD 1,000 at a price of 105% and an exchange rate of MXN/USD 20, with a volatility of 4%; and some oil futures, for a value of MXN 25,000 and a volatility of 5%. The investor wishes to measure his maximum expected loss through Parametric VaR, without considering diversification effects.
 

Using a normal distribution, a settlement period of 1 day and a confidence level of 95%, what is the value of the VaR for the shares?

 

What is the VaR value for local currency sovereign bonds?

 

What is the VaR value for foreign currency sovereign bonds?

 

What is the value of VaR for oil futures?

 

What is the value of the VaR for the entire portfolio of financial assets?

Answer rating: 100% (QA)

To calculate the Value at Risk VaR using Parametric VaR without considering diversification effects ... View the full answer