Find the VaR at the 99 % level over 2 months by simulation for a portfolio of

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Find the VaR at the 99 % level over 2 months by simulation for a portfolio of two stocks with parameters: for the first: S0 = 20, μ = 3%, volatility = 26 %, for the second: S0 = 40, μ = 1 %, volatility = 33%. Assume that the stocks are correlated, variously, ρ = 0.9, ρ = 0.2, ρ = −0.8.

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Finance With Monte Carlo

ISBN: 9781461485100

2013th Edition

Authors: Ronald W. Shonkwiler

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