What is the portfolio VaR

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Reference no: EM132208251

Question - Consider a portfolio with two foreign currencies, the U.S. dollar (USD) and the euro (EUR). These two currencies have a standard deviation against MOP of 0.40% and 1.80%, respectively. The portfolio has MOP 2 million invested in the USD and MOP 3 million in the EUR. We'd like to calculate the portfolio VaR at the 95 percent confidence level.

a. Assume that the two currencies are uncorrelated, what is the portfolio VaR?

b. Assume that the two currencies are perfectly correlated, what is the portfolio VaR?

c. Assume that the correlation coefficient is -0.2, what is the portfolio VaR?

Reference no: EM132208251

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