Suppose that the portfolio considered in Section 20.2 has (in $000s) 3,000 in DJIA, 3,000 in FTSE,

Question:

Suppose that the considered in Section 20.2 has (in $000s) 3,000 in DJIA, 3,000 in FTSE, 1,000 in CAC40, and 3,000 in Nikkei 225. Use the spreadsheet on the author’s web site to calculate what difference this makes to the one-day 99% VaR that is calculated in Section 20.2.
Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...