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Exercise 18: a.) Calculate the 99%-1 day VaR (n-Assets) with the following data: If this is not possible explain why o 1d Exposure/Delta p with
Exercise 18: a.) Calculate the 99%-1 day VaR (n-Assets) with the following data: If this is not possible explain why o 1d Exposure/Delta p with B p with C with A Asset A 3% 5 T 1.0 -0.9 -0.8 Asset B 3% 5 T -0.9 1.0 -0.9 Asset C 6% 2 T -0.8 -0.9 1.0 b.) Replace the correlation (A-C / C-A) with 0.8, and calculate as before. If this works explain why Exercise 18: a.) Calculate the 99%-1 day VaR (n-Assets) with the following data: If this is not possible explain why o 1d Exposure/Delta p with B p with C with A Asset A 3% 5 T 1.0 -0.9 -0.8 Asset B 3% 5 T -0.9 1.0 -0.9 Asset C 6% 2 T -0.8 -0.9 1.0 b.) Replace the correlation (A-C / C-A) with 0.8, and calculate as before. If this works explain why
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