Find the VaR for the stocks in Problem 9 by the historical method. For their price histories,
Question:
Find the VaR for the stocks in Problem 9 by the historical method. For their price histories, use the GBM model to generate 2 months worth of prices for the equities. Only treat the ρ = 0.2 case.
Data given in Problem 9
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.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: