Question
Your portfolio which consists of 45% of stock J, and 55% of stock K. J has daily Standard Deviation 2% while K has daily Standard
Your portfolio which consists of 45% of stock J, and 55% of stock K. J has daily Standard Deviation 2% while K has daily Standard Deviation 3%. The correlation of two stocks is -0.5. What is the 1 day and 1 week 99% absolute VaR given 5 trading days per week?
(7 marks)
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Financial Markets and Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
5th edition
321280299, 321280296, 978-0321280299
