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Assume a bank is holding a two asset portfolio of stocks in blue chip companies, Kantry Limited and Gwede Corporation of K12.5 million each whose
- Assume a bank is holding a two asset portfolio of stocks in blue chip companies, Kantry Limited and Gwede Corporation of K12.5 million each whose annual volatility is 35% and 28% respectively. The assets have a perfect correlation. Calculate the 1-day VAR at 95% confidence level for the total portfolio holding of stocks and interpret the result in each case. Show all your workings.
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Financial Markets And Institutions
Authors: Jeff Madura
6th Edition
0324162618, 978-0324162615
