B IC U 5 > C IM IM 68 Clipboard 5 Font 5 Alignment a Numt D2 А B с D E F G H 1 BF435 Points 20 2 Final Exam Score 3 Prob

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B IC U 5 > C IM IM 68 Clipboard 5 Font 5 Alignment a Numt D2 А B с D E F G H 1 BF435 Points 20 2 Final Exam Score 3 Prob

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B IC U 5 > C IM IM 68 Clipboard 5 Font 5 Alignment a Numt D2 А B с D E F G H 1 BF435 Points 20 2 Final Exam Score 3 Problem 3, VaR 4 Calculate the 99%, 10 day VaR of $10mm of Microsoft (MSFT) and Google (GOOG) individually, then as a combined portfolio. 5 Calculate the Benefit of Diversification, and Marginal Contribution to VaR of adding the GOOG to MSFT 6 7 MSFT GOOG MSFT + GOOG 8 Value 9 Volatility 30.2% 32.2% 10 Correlation 0.673 11 12 Sdaily SD 13 99%, 10day Var 14 15 Benefit of Diversification 16 Marginal Contribution to VaR 17 18 19 20 21 22
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