How much is the var reduction in the portfolio

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Reference no: EM131871995

Suppose you have two stocks (A and B) in your portfolio, worth $230,000 and $570,000 respectively. The annual volatility is 0.24 and 0.32 respectively. The correlation between the two stocks is 0.35. Please calculate the 10-day, 98% VaR and ES (expected shortfall) for the two positions separately and for the portfolio. How much is the VaR reduction in the portfolio? How much is the ES reduction in the portfolio?

Reference no: EM131871995

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