Scribd Logo
Upload

Welcome to Scribd!

  • 19 views

    Cad 2000000 165000 0.05288 105769 0.41 Eur 1000000 198000 0.15231 152308 0.59 Total 3000000 363000 Diversified Var 258077 Undiversified Var

    Uploaded by

    gaurav910
    The document describes a portfolio with $2 million invested in Canadian dollars (CAD) and $1 million invested in Euros (EUR). The annual volatility of CAD is 5% and EUR is 12% based on their values against the US dollar. Calculating the value-at-risk (VaR) of the individual positions and the overall diversified portfolio, the diversified VaR is approximately $258,077, lower than the undiversified VaR of $363,000 due to diversification across the two assets.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content

    You might also like

    Cad 2000000 165000 0.05288 105769 0.41 Eur 1000000 198000 0.15231 152308 0.59 Total 3000000 363000 Diversified Var 258077 Undiversified Var

    Uploaded by

    gaurav910
    19 views2 pages
    The document describes a portfolio with $2 million invested in Canadian dollars (CAD) and $1 million invested in Euros (EUR). The annual volatility of CAD is 5% and EUR is 12% based on their values against the US dollar. Calculating the value-at-risk (VaR) of the individual positions and the overall diversified portfolio, the diversified VaR is approximately $258,077, lower than the undiversified VaR of $363,000 due to diversification across the two assets.

    Original Description:

    Original Title

    VaR

    Copyright

    © Attribution Non-Commercial (BY-NC)

    Available Formats

    XLSX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    The document describes a portfolio with $2 million invested in Canadian dollars (CAD) and $1 million invested in Euros (EUR). The annual volatility of CAD is 5% and EUR is 12% based on their values against the US dollar. Calculating the value-at-risk (VaR) of the individual positions and the overall diversified portfolio, the diversified VaR is approximately $258,077, lower than the undiversified VaR of $363,000 due to diversification across the two assets.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    19 views2 pages

    Cad 2000000 165000 0.05288 105769 0.41 Eur 1000000 198000 0.15231 152308 0.59 Total 3000000 363000 Diversified Var 258077 Undiversified Var

    Uploaded by

    gaurav910
    The document describes a portfolio with $2 million invested in Canadian dollars (CAD) and $1 million invested in Euros (EUR). The annual volatility of CAD is 5% and EUR is 12% based on their values against the US dollar. Calculating the value-at-risk (VaR) of the individual positions and the overall diversified portfolio, the diversified VaR is approximately $258,077, lower than the undiversified VaR of $363,000 due to diversification across the two assets.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 2

    Consider a portfolio having 2 assets:

    Canadian Dollar (CAD) and Euro(EUR).


    Sigma(CAD) against Dollar = 5%
    Sigma (EUR) against Dollar = 12%
    The portfolio has 2 million Dollars invested in CAD and 1 million Dollars
    invested in EUR

    Percentage
    Current Marginal Component Contribution of
    Currency Position Individual VaR VaR VaR Component VaR
    CAD 2000000 165000 0.05288 105769 0.41
    EUR 1000000 198000 0.15231 152308 0.59

    Total 3000000
    Undiversified
    VaR 363000

    Diversified VaR 258077

    You might also like