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Portfolio VaR2
Hello, I have another question about portfolio VaR. A bank has two divisions that currently have VaR of 200 and 400. The VaR of the bank as a whole will: A. be 400 B. be 600 C. be at least 200 D. be at most 600 The answer is D. However, I'm confused that since the correlation of the two...- Kitty
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- Replies: 5
- Forum: P1.T4. Valuation & Risk Models (30%)
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Portfolio VaR
ShaktiRathore and @David Harper, thank you two very much for your explanation! I agree...- Kitty
- Post #4
- Forum: P1.T4. Valuation & Risk Models (30%)
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Portfolio VaR
Hi David, There is a question that confuses me a lot... Consider a portfolio of N assets worth $100 million with normally distributed returns. The standard deviations of the assets differ, but the correlation between any pair of assets is zero. As N becomes very large, the VaR of the...- Kitty
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- Replies: 3
- Forum: P1.T4. Valuation & Risk Models (30%)