Assume a portfolio consisting of only 10,000 shares in ABC Corporation and the share price is USD2.05. Annual volatility...
Assume a portfolio consisting of only 10,000 shares in ABC Corporation and the share price is USD2.05. Annual volatility of ABC shares has been around 15% p.a. and there are 252 trading days in a year. What is the 1-day VAR at 95% confidence level or 1.645 σ.
Homework Answers
daily volatility = Annual volatility / squre root (252)
=15%/ 15.87451 = 0.9449%
1day VaR at 95% confidence level can be calculated as
1 day VaR = Value of portfolio * daily volatility * (value in multiples of std deviation for the confidence interval)
=10000*2.05 * 0.9449% * 1.65
= USD 319.62
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