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Var for two asset portfolio using volatility
Hello David, Could you please help me on this calculation : I am trying to calculate a portfolio VaR (5 or 6 assets). I have already done it for 2 assets using the following formula : VaR (asset 1 + asset 2) = sqrt (VaR asset1 ^2 + VaR asset2 ^2+ 2 * VaR asset1 * VaR asset 2 * correlation12)...- JayC
- Post #14
- Forum: P1.T4. Valuation & Risk Models (30%)
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J
VaR and BackTesting
Hello, Could someone please help me on this calculation : I am trying to calculate a portfolio VaR (5 or 6 assets). I have already done it for 2 assets using the following formula : VaR (asset 1 + asset 2) = sqrt (VaR asset1 ^2 + VaR asset2 ^2+ 2 * VaR asset1 * VaR asset 2 * correlation12). What...- JayC
- Post #5
- Forum: David's Notebook