Level of confidence of equally weighted portfolio

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Reference no: EM13873323

Choose any three ASX listed stocks and calculate 10-day VaR(Value at Risk) at 99% level of confidence of an equally weighted portfolio of these three assets at pertain point of time using Historical and Monte Carlo simulation. You can choose any size of the investment say $90000.

Also, calculate the amount of capital charges required as per Basel Accord if a bank wants to invest in that portfolio?

Reference no: EM13873323

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