HI David
In the forum, calculating VAR for two asset, I find your calculations: VAR=critical-z * sqrt(Positions matrix row vector * Var-covar matrix * Positions matrix column vector)
I would like to ask whether I can use this formula to calculate VAR for a portfolio of FX volatility of 3 currencies based on the FX rates.
I have one formula as follwed:
VAR=sqrt(undiversified VAR matrix * correlation matrix * transposed undiversified VAR matrix)
undiversified VAR matrix = volatility matrix * ABS weighting matrix
Please help me to explain which formula can be used to calculate VAR for a portfolio of FX volatility of 3 currencies
In the forum, calculating VAR for two asset, I find your calculations: VAR=critical-z * sqrt(Positions matrix row vector * Var-covar matrix * Positions matrix column vector)
I would like to ask whether I can use this formula to calculate VAR for a portfolio of FX volatility of 3 currencies based on the FX rates.
I have one formula as follwed:
VAR=sqrt(undiversified VAR matrix * correlation matrix * transposed undiversified VAR matrix)
undiversified VAR matrix = volatility matrix * ABS weighting matrix
Please help me to explain which formula can be used to calculate VAR for a portfolio of FX volatility of 3 currencies