FINAL -AFM
This query is : Resolved
ramesh babu
(Querist)
30 August 2023
Sir
"Consider a portfolio of consisting of a Rs. 20000000 investment in share XYZ and Rs. 20000000 investment in share ABC.The daily standard deviation of both shares are 1% and the coefficient of correlation between them is 0.3.you are required to the 10 day 99% value at risk for the portfolio."
This is the question in AFM ICAI Study material.
in that answer given directly which is not getting understand by me.
Hence it is requested any one pl. explain the answer in simple terms.
Thanking you sir.
pl help me
"Consider a portfolio of consisting of a Rs. 20000000 investment in share XYZ and Rs. 20000000 investment in share ABC.The daily standard deviation of both shares are 1% and the coefficient of correlation between them is 0.3.you are required to the 10 day 99% value at risk for the portfolio."
This is the question in AFM ICAI Study material.
in that answer given directly which is not getting understand by me.
Hence it is requested any one pl. explain the answer in simple terms.
Thanking you sir.
pl help me
21 January 2024
https://forum.sseiqforum.com/wp-content/uploads/2023/03/Sum-on-VAR.pdf
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