VAR in a multi-risk model:reference to page 24-25 of "var-I.pdf"

ankuragrawal.nit
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VAR in a multi-risk model:reference to page 24-25 of "var-I.pdf"

Postby ankuragrawal.nit » Fri Jan 13, 2012 1:10 am

In the solution to the vAR question with matrices on page 25 of "VAR-I.pdf"
the final result $478215.4 is the portfolio daily VAR.

My question is Are we neglecting the weights in case of a VAR model involving more than two securities/ assets or we are simply assuming equal distribution of weights...
Also Multiple risk is possible only if we have more than two securities right?
so here the risk that we are talking about is the daily volatility?
Because apart from volatility there might be risk factors that are correlated with volatility.What about them? We arnt capturing them in this matrix model right?

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