Question
Question 8 You are running a hedge fund with a long position of 4,000 shares of IBM, and a short position of 5,000 shares of
Question 8
You are running a hedge fund with a long position of 4,000 shares of IBM, and a short position of 5,000 shares of Intel. IBM is currently trading at $270 per share, and Intel is trading at $10 per share. Over the past year, the volatility of IBMs stock was 8% per day, the volatility of Intels stock was 8% per day, and the correlation between the two company stocks was 0.7. Suppose your hedge funds capital equals the value of its current positions. What is the delta-normal VAR with a 1-day holding period and 99% confidence for your portfolio?
When the portfolio is a combination of a long and a short position, the correlation coefficient between the two should be multiplied by -1.
195,466 | ||
194,902 | ||
174,672 | ||
9,320 | ||
201,312 |
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