Question: Question 4 (9 marks) 4.1Calculate and interpret the VaR for Fund ZZ at a 95% confidence level. (4) 4.2Calculate the component VaR for Asset B

Question 4 (9 marks)

4.1Calculate and interpret the VaR for Fund ZZ at a 95% confidence level. (4)

4.2Calculate the component VaR for Asset B at a 95% confidence level. (3)

4.3Calculate and interpret the marginal VaR for Asset B at a 95% confidence level. (2)

Question 4 (9 marks) 4.1Calculate and interpret

QUESTION 4 (9 MARKS) An investment manager is assessing the value at risk (VaR) ofa portfolio, Fund 22. The portfolio consists of two assets: A and B. The value of the portfolio is R12 million, with 25% invested in Asset A and 75% invested in Asset B. The standard deviation of expected returns on Asset A is 20%, and 15% on Asset B. The correlation coefficient between the two assets is 0.12. Hint: show all calculations when answering the following questions. Round off your nal answers to two (2) decimal places. 4.1 Calculate and interpret the VaR for Fund 22 at a 95% condence level. (4) 4.2 Calculate the component VaR for Asset B at a 95% confidence level. (3) 4.3 Calculate and interpret the marginal VaR forAsset B at a 95% confidencelevel. (2)

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