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Tiago Asset Management has a portfolio which consists of 30% of stock K, and 70% of stock M. K has daily Standard Deviation 1% while
Tiago Asset Management has a portfolio which consists of 30% of stock K, and 70% of stock M. K has daily Standard Deviation 1% while M has daily Standard Deviation 2.5%. The correlation of two stocks is -0.25. What is the 1 day 99% absolute VaR and 1 week 95% absolute VaR given 5 trading days a week? (8 marks) Give two assumptions of the methodology you used. (4 marks)
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Financial Accounting
Authors: Belverd E Needles, Marian Powers
10th Edition
0547193289, 9780547193281
