Consider a position consisting of a $300,000 investment in gold and a $500,000 investment in silver....

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Finance

Consider a position consisting of a $300,000 investment in goldand a $500,000 investment in silver. Suppose that the dailyvolatilities of these two assets are 1.8% and 1.2%, respectively,and that the coefficient of correlation between their returns is0.6. What is the 10-day 97.5% VaR and ES for the portfolio? By howmuch does diversification reduce the VaR and ES?
Suppose in the period that you did the question above the priceof 1 unit of gold and 1 unit of silver where 1250$ and 350$. Thenext day the prices become $1240 and $354.Calculate the 1-day 99.9%VaR and ES for the portfolio.
I already have the first half finished, I just need the secondhalf.

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4.0 Ratings (833 Votes)

I am answering only the second half as you have specifically asked for it One day return Gold 1240 1250 1250 0008 Silver 354 350 350 0011428571 We need to update the daily volatility of Gold Silver Lets update the volatility See Answer

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Consider a position consisting of a $300,000 investment in goldand a $500,000 investment in silver. Suppose that the dailyvolatilities of these two assets are 1.8% and 1.2%, respectively,and that the coefficient of correlation between their returns is0.6. What is the 10-day 97.5% VaR and ES for the portfolio? By howmuch does diversification reduce the VaR and ES?Suppose in the period that you did the question above the priceof 1 unit of gold and 1 unit of silver where 1250$ and 350$. Thenext day the prices become $1240 and $354.Calculate the 1-day 99.9%VaR and ES for the portfolio.I already have the first half finished, I just need the secondhalf.