Question: Consider a position consisting of a 300 000 investment in gold
Consider a position consisting of a $300,000 investment in gold and a $500,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.8% and 1.2% respectively, and that the coefficient of correlation between their returns is 0.6. What is the 10-day 97.5% VaR for the portfolio? By how much does diversification reduce the VaR?
Answer to relevant QuestionsConsider a portfolio of options on a single asset. Suppose that the delta of the portfolio is 12, the value of the asset is $10, and the daily volatility of the asset is 2%. Estimate the one-day 95% VaR for the portfolio ...A common complaint of risk managers is that the model-building approach (either linear or quadratic) does not work well when delta is close to zero. Test what happens when delta is close to zero in using Sample Application E ...A bank has the following balance sheet Cash 3 Retail Deposits (stable) 25 Treasury Bonds (>1 year) 5 Retail Deposits (less stable) 15 Corporate Bonds Rated A 4 Wholesale Deposits 44 Residential ...Extend Example 20.3 to calculate CVA when default can happen in the middle of each month. Assume that the default probability during the first year is 0.001667 per month and the default probability during the second year is ...What difference does it make to the VaR calculated in Example 22.2 if the exponentially weighted moving average model is used to assign weights to scenarios as described in Section 13.3?
Post your question