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d. Consider a portfolio of 2 stocks with 5 million invested in each stock. The two stocks have an annual volatility of 25%. The correlation
d. Consider a portfolio of 2 stocks with 5 million invested in each stock. The two stocks have an annual volatility of 25%. The correlation between the stock returns is 0.50.. You have been asked to compute the 99% 1-day VaR under the assumption that the correlation between the two stocks varies over time as follows: 1) in regime A (which holds 95% of the time) the correlation is 0.50 and 2) in regime B (which holds 5% of the time) the correlation is 1.00: 1. What is the 99% 1-day VaR in each of the two regimes? d. Consider a portfolio of 2 stocks with 5 million invested in each stock. The two stocks have an annual volatility of 25%. The correlation between the stock returns is 0.50.. You have been asked to compute the 99% 1-day VaR under the assumption that the correlation between the two stocks varies over time as follows: 1) in regime A (which holds 95% of the time) the correlation is 0.50 and 2) in regime B (which holds 5% of the time) the correlation is 1.00: 1. What is the 99% 1-day VaR in each of the two regimes
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