Consider a portfolio composed of shares AAA and BBB as shown in the following table. At 95% confidence level, select the
Posted: Sun May 29, 2022 4:59 pm
Consider a portfolio composed of shares AAA and BBB as shown in the following table. At 95% confidence level, select the correct statement
AAA BBB
Value 2,470,000 785,750
% investment 76% 24%
Volatilities 2.32 % 2.69 %
Correlation for both assets 0.65
Portfolio Value for both assets 3,255,750
a) The Component VaR of the Asset AAA is 92,223 and the component VaR of the Asset BBB is 27955.69
b) The contribution to the VaR of the Asset AAA is 77% and the one of the Asset 2 is 23%
c) Both answers are correct
AAA BBB
Value 2,470,000 785,750
% investment 76% 24%
Volatilities 2.32 % 2.69 %
Correlation for both assets 0.65
Portfolio Value for both assets 3,255,750
a) The Component VaR of the Asset AAA is 92,223 and the component VaR of the Asset BBB is 27955.69
b) The contribution to the VaR of the Asset AAA is 77% and the one of the Asset 2 is 23%
c) Both answers are correct