Using the analytical or variance

Using the analytical or variance–covariance method

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Reference no: EM132023588

A firm runs an investment portfolio consisting of stocks as well as options on stocks. Management would like to determine the VaR for this portfolio and is thinking about which technique to use.

A. Discuss a problem with using the analytical or variance–covariance method for determining the VaR of this portfolio.

A. Describe a situation in which an organization might logically select each of the three VaR methodologies.

Reference no: EM132023588

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