Search Results
| Search type | Search syntax |
|---|---|
| Tags | [tag] |
| Exact | "words here" |
| Author |
user:1234 user:me (yours) |
| Score |
score:3 (3+) score:0 (none) |
| Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
| Views | views:250 |
| Code | code:"if (foo != bar)" |
| Sections |
title:apples body:"apples oranges" |
| URL | url:"*.example.com" |
| Saves | in:saves |
| Status |
closed:yes duplicate:no migrated:no wiki:no |
| Types |
is:question is:answer |
| Exclude |
-[tag] -apples |
| For more details on advanced search visit our help page | |
Results tagged with delta
Search options not deleted
user 51355
0
votes
10-day VaR for a portfolio
I multiplied the delta equivalent by the daily volatility by the current exchange rate: 56 x 1.5 x 0.7 = 58.8
I then multiplied this by the square root of 10 to get the 10-day VaR = 185.942. …
- 15
0
votes
2
answers
106
views
10-day VaR for a portfolio
The delta equivalent position of the portfolio is GBP 56.00. The current exchange rate is 1.5, with a daily volatility of 0.7 percent. … Using the given information and assuming that changes in portfolio value are normally distributed, the 99 percent /10-day VaR for this portfolio is:
I have noted that: Daily VaR = Daily Volatility * Delta …
- 15