Does anybody in know how to calculate Value at risk for Asset class and currency risk? I know the defenition so please dont define it, i want to know if i have different asset class like investment in Equity- 10.23 million, derivatives- 7.14 million, Fund of fund-2.54 million, then how will i calculate VaR at 95 % and 99%?
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Any idea about VaR calculation
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Check out this link you might get some spreadsheets relating to this VAR.
https://pages.stern.nyu.edu/~adamodar/
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