var-covariance-matrix
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M
Help me understand something about portfolio VaR calculations?
Couldn't we combine the portfolio first to get the distribution of portfolio log returns and then calculate the portfolio VaR from there? Why do we need to compute individual VaRs and then combine them together using the var-covariance matrix?- myndelsg
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- log-returns portfolio-value-at-risk portfolio-var var-covariance-matrix
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- Forum: P1.T4. Valuation & Risk Models (30%)