Question
Calculate the 5-day 99% VaR for this portfolio. What does it mean? This is a question I am struggling with. I have invested in both
Calculate the 5-day 99% VaR for this portfolio. What does it mean?
This is a question I am struggling with.
I have invested in both APA Group and Transurban
$350,000 and $650,000 respectively.
Daily Standard Deviation for APA and TCL is: 1.74% and 1.89%
Daily Variance is: 0.03% and 0.04%
Number of trading days used is: 500
Two Years Variance for both stocks is: 15.13% and 17.87%
Standard Deviation: 38.90% and 42.27%
Covariance is 0.02%
Correlation is 50.84%
Portfolio total end value is $1.362,973.93
I have also attached some pictures of figures and workings with formulas>
I need to answer this question manually without excel Calculate the 5-day 99% VaR for this portfolio. What does it mean?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started