## VaR

Good Student
Posts: 29
Joined: Thu Oct 04, 2012 2:09 am

### VaR

The Westover Fund is a portfolio consisting of 42% fixed-income investments and 58% equity investments. The manager of the Westover Fund recently estimated that the annual VAR (5%), assuming a 250-day year, for the entire portfolio was \$1,367,000 based on the portfolio's market value of \$12,428,000 and a correlation coefficient between stocks and bonds of zero.
If the annual loss in the equity position is only expected to exceed \$1,153,000; 5% of the time, then the daily expected loss in the bond position that will be exceeded 5% of the time is closest to:
a. \$72 623
b. \$46,445.
c. \$21,163.
d. \$55,171.

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AMITAG1990
Finance Junkie
Posts: 89
Joined: Sat Sep 22, 2012 12:35 pm

### Re: VaR

here formula is,
Var(p)^2 = Var1^2 + Var2^2 + 2Var1*Var2*corr
As here corr is 0 and By putting value we can get VaR1 hence then divide it by squt250 to get the daily Var and ans is 46445.

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

### Re: VaR

Check out this post:
post1259.html?sid=fce9e1803f61be1916282ec3cc95bdbb#p1259

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