Consider a Single Asset Portfolio - Assumption: CHF 10'000'000 Shares of TAF N = 10 (short fall or loss period) X = 99 (1% level of significance) Assume 252 days of trading per year, volatility of 2% per day Analyse data and assess VaR Consider a second Single Asset Portfolio | IMD, Lausanne : Consider a position of CHF 5 Million on IMD, Lausanne Daily volatility is 1% (approx. 16% per year) hence standard deviation of the change in Portfolio in 1- day is CHF 50'000 (1% of 5 million) Analyse and assess 10 day VaR at 99% Confidence Level Now consider a 2 Asset case Portfolio (TAF and IMD Lausanne): Correlation between the 2 returns is 0.3 (ignore weights) Use info from above Analyse data and assess 10 day VaR at 1% level of significance Question : Compute in monetary terms the benefits of Portfolio diversification Consider a Single Asset Portfolio - Assumption: CHF 10'000'000 Shares of TAF N = 10 (short fall or loss period) X = 99 (1% level of significance) Assume 252 days of trading per year, volatility of 2% per day Analyse data and assess VaR Consider a second Single Asset Portfolio | IMD, Lausanne : Consider a position of CHF 5 Million on IMD, Lausanne Daily volatility is 1% (approx. 16% per year) hence standard deviation of the change in Portfolio in 1- day is CHF 50'000 (1% of 5 million) Analyse and assess 10 day VaR at 99% Confidence Level Now consider a 2 Asset case Portfolio (TAF and IMD Lausanne): Correlation between the 2 returns is 0.3 (ignore weights) Use info from above Analyse data and assess 10 day VaR at 1% level of significance Question : Compute in monetary terms the benefits of Portfolio diversification