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Undiversified VaR
You made me think from another angle, David. That was great help! thanks a lot. Now it makes sense to me:) Gunes Sari,FRM- [email protected]
- Post #8
- Forum: P2.T9. Investment Management (15%)
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Undiversified VaR
Hi David, I am struggling with the same problem. I need to calculate VaR consisting of two currency positions ( one is negative position). EUR and GBP currency positions are 6 milyon USD and (-7) milyon USD, respectively. Daily volatilities are 1,22% and 1,09%, respectively. Corr is 66,7%...- [email protected]
- Post #6
- Forum: P2.T9. Investment Management (15%)