Can portfolio VaR be calculated if VaR of asset is given but

ashishsinha
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Posts: 12
Joined: Mon Jul 01, 2013 5:45 pm

Can portfolio VaR be calculated if VaR of asset is given but

Postby ashishsinha » Thu Oct 10, 2013 11:03 am

For an uncorrelated portfolio what is the VaR if:

•VaR asset A is $10 mn

•VaR asset B is $20 mn

The answer has been given as $22.36 mn at one place and $ 11.18 mn at other place (in the other place they have assumed equal weights for A and B.)

But i have doubt as to how VaR for a portfolio can be calculated without knowing the VaR (%) of the components. In the question, we have been provided with VaR value and not % age.

vighnesh.mehta
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Posts: 16
Joined: Tue Sep 03, 2013 1:16 pm

Can portfolio VaR be calculated if VaR of asset is given but

Postby vighnesh.mehta » Sat Oct 12, 2013 2:56 am

Hi,

Don't confuse this withPortfolio Variance calculation. The formula to calculate VaR is: [{VaR(A)}^2+{VaR(B)}^2+2*{VaR(A)}*{VaR(B)}]^0.5.

Also if not mistaken, you are talking about percentage components of each asset in the portfolio. This is not necessary in this question since you are given VaR for each asset.

Also can you give me the source of the questions where you find two different answers.


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