Suppose that the daily change in the value of a portfolio, Ask an Expert

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Suppose that the daily change in the value of a portfolio is, to a good approximation, linearly dependent on two factors, calculated from a principal components analysis. The delta of the portfolio with respect to the first factor is 6 and the delta with respect to the second factor is –4. In other words, a one-unit increase in the first factor increases the portfolio value by $6m but a one-unit increase in the second factor reduces the portfolio value by $4m. The daily standard deviations of the factors are 20 and 8, respectively. What is the five-day 90% VaR of the portfolio? Also, How I use table of normal distribuition to find N()=0.9 ?

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Financial Management, Finance

Category:- Financial Management
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