value at risk

I would appreciate if someone could explain in layman terms what is the Delta-normal method. Also could someone explain how the following 2 positions are equivalent: 1. A 1 year forward contract to purchase pounds for dollar 2. A combination of 3 positions: a) A short position in a US...

17. The bank’s trading book consists of the following two assets:\ Correlation (A, B) = 0.2 How would the daily VaR at 99% level change if the bank sells 50 worth of asset A and buys 50 worth of asset B? Assume there are 250 trading days in a year. a. 0.2286 b. 0.4581 c. 0.7705 d...