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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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The computation follows: VaR(portfolio)2=VaR(stocks)2+VaR(fixed income)2\text{VaR}^2_{\text{(portfolio)}} = \text{VaR}^2_{\text{(stocks)}} + \text{VaR}^2_{\text{(fixed income)}}VaR(portfolio)2​=VaR(stocks)2​+VaR(fixed income)2​ Assuming the correlation is 1,367,0002=1,153,0002+VaR(fixed income)21,367,000^2 = 1,153,000^2 + \text{VaR}^2_{\text{(fixed income)}}1,367,0002=1,153,0002+VaR(fixed income)2​ VaR(fixed income)=734,357\text{VaR}_{\text{(fixed income)}} = 734,357VaR(fixed income)​=734,357

Next convert the annual VaR to daily VaR: 734,357/250=46,445734,357 / \sqrt{250} = 46,445734,357/250​=46,445_

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