You have recently signed a forward contract on 750 Gas Natural shares. The current price is 30.66 €/share, and the 5-year settlement price is 29 €. We do not know the standard deviation of the return of Gas Natural, but we do know that its as regards the IBEX 35 is 1.17. Furthermore, the standard deviation of the daily return of the IBEX 35 is 0.85%. We also know that the standard deviation of the daily return of the 5-year spot rate, currently 4.65%, is 1.01%, and its correlation with the IBEX 35 is -0.0098. Finally, we know that the dividend rate on Gas Natural shares is 3%. 

Question: At a 95% confidence level, what is the daily VaR of this portfolio according to the delta-normal approach? 

Answer rating: 100% (QA)

To calculate the daily VaR of the portfolio according to the deltanormal approach we need to estimate the standard deviation of the return of the port... View the full answer