Hi David,
Suppose you have a portfolio with a long position of $2 million in BAA bonds and short $1m in T-notes. Volatility are 1.58% and 1.90% per month, respectively, with a correlation of 0.9654.
a) Compute the 95% monthly VAR for each position individually
b) Compute the 95% portfolio VAR...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.