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  • Value at Risk Two Asset

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    This document provides the parameters and results of a value at risk (VaR) analysis for a two-asset portfolio consisting of stock 1 and stock 2. It lists the volatility, share price, shares owned, days per year, confidence level, covariance, and time horizon. The results section shows the total portfolio value, daily and annual volatilities for each stock and the portfolio, and the 1 day and 5 day VaR at 99% confidence level.

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    VAR

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    This document provides the parameters and results of a value at risk (VaR) analysis for a two-asset portfolio consisting of stock 1 and stock 2. It lists the volatility, share price, shares owned, days per year, confidence level, covariance, and time horizon. The results section shows the total portfolio value, daily and annual volatilities for each stock and the portfolio, and the 1 day and 5 day VaR at 99% confidence level.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    11 views1 page

    Value at Risk Two Asset

    Uploaded by

    MeeroButt
    This document provides the parameters and results of a value at risk (VaR) analysis for a two-asset portfolio consisting of stock 1 and stock 2. It lists the volatility, share price, shares owned, days per year, confidence level, covariance, and time horizon. The results section shows the total portfolio value, daily and annual volatilities for each stock and the portfolio, and the 1 day and 5 day VaR at 99% confidence level.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 1

    Value at Risk for Two-Asset Portfolio

    http://investexcel.net

    Parameters
    Stock 1 Stock 2
    Volatility (per year) 12% 21%
    Share Price $4.20 $9.30
    Shares Owned 125000 50000

    Days Per Year 360


    Confidence Level 99%
    Covariance of Stocks 0.35
    Time Horizon (days) 5

    Results
    Total Value of Portfolio $990,000.00
    Daily Volatility of Stock 1 0.63%
    Daily Volatility of Stock 2 1.11%
    Annual Portfolio Volatility $7,033.82
    1 Day Value at Risk $16,363.12
    5 Day Value at Risk $36,589.05

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