Question on a factor push calculation:
"Consider a portfolio with positions in stock A (1000 shares) and stock b (1700 shares). The closing price of the two equities are respectively $95.96 and $47.51. The standard deviations of their returns are respectively .005955 and .006972. Given a push magnitude of 6 and respective shocks of +1 and -1 (assuming linear and long/short) returns, the factor push portfolio stress loss is obtained as $6807.09"
Not quite sure how the final value was obtained $6807.09 was obtained - could someone please provide an explanation on the calculation steps?
"Consider a portfolio with positions in stock A (1000 shares) and stock b (1700 shares). The closing price of the two equities are respectively $95.96 and $47.51. The standard deviations of their returns are respectively .005955 and .006972. Given a push magnitude of 6 and respective shocks of +1 and -1 (assuming linear and long/short) returns, the factor push portfolio stress loss is obtained as $6807.09"
Not quite sure how the final value was obtained $6807.09 was obtained - could someone please provide an explanation on the calculation steps?
