Explore BrainMass

Explore BrainMass

    Value at risk (VAR) for a portfolio

    Not what you're looking for? Search our solutions OR ask your own Custom question.

    This content was COPIED from BrainMass.com - View the original, and get the already-completed solution here!

    A trader at a bank holds a portfolio consisting of a $300,000 position in asset A and a $500,000 position in asset B.

    a. Assume the daily volatility of asset A is 1.8% and that of asset B is 1.2%, and the the correlation between their returns is 0.2 (ie. 20%). What is the 3-day, 95% value at risk for the portfolio?

    b. Calculate portfolio VAR for (a) if correlation assumes the following values:


    Compare porfolio VAR for +100% and -100% with the position VARs

    © BrainMass Inc. brainmass.com December 24, 2021, 4:55 pm ad1c9bdddf

    Solution Summary

    The expert calculates the value at risk for a portfolio.