Question: Question 24. VAR Calculation (12 marks) A Hmm hes a portfolio composed cic A and B with normally o faributed returns. 9:0CK A expected and

Question 24. VAR Calculation (12 marks) A Hmm hes a portfolio

Question 24. VAR Calculation (12 marks) A Hmm hes a portfolio composed cic A and B with normally o faributed returns. 9:0CK A expected and annual volatilty y of 2016. The firm h asa position on In stop sturn 3096 25 WE 1. The Firm # 560 million In stock E. corre ation coombdent between the returns of Compute the 816 annual VAR for the portfollow Iinterpret the resulting VAR. (5 marks) What Is the 5%% dally VAR for the portfolio? Assume 365 days per year. (2 marks) " the firm sells $10 million of stock A and buys $10 million of stock B, by how much does the 916 annual VAR change

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