Questions

Calculate the VAR using variance-covariance for 2 equities


1) A portfolio contains one stock of 100,000 shares
The price is USD 45 per share
Daily volatility estimated as 1.5%
What is the 1-day VAR at 99% confidence level (2.326 standard deviations)
Answer = 157005


2) A portfolio contains one stock of 200,000 shared
The price is USD 58.5 per share
Daily volatility estimated as 1.8%
What is the 1 day VAR at 99% confidence level
Answer = 492368


3) The standard deviation of stock A is 0.4
The standard deviation of stock B is 0.7
The correlation coefficient between A and B is 0.2
What would the standard deviation be of a portfolio that invested 60% in stock A and 40% in stock B
Answer = 40.36%


4) A portfolio contains two stocks
Stock A = 100,000 shares, price USD 45, daily volatility 2.2%
Stock B = 100,000 shared, price USD 72, daily volatility 1.6%
The correlation coefficient between A and B is 0.4
What is the 1 day VAR at 99% confidence level
Answer = 417359







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