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Compute the var of stock t

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Reference no: EM133008349

Problem 1: A risk manager is evaluating the risks of a portfolio of stocks. Currently the portfolio is valued at CAD 248 million and contains CAD 15 million in stock T. The Annualized standard deviation of returns of the overall portfolio and of stock T are 16% and 13% respectively. The correlation of returns between the portfolio and stock T is 0.45. Assume the risk analyst uses 1 year 95% VAR and the returns are normally distributed. Compute the VAR of stock T.

Reference no: EM133008349

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