A "Value at Risk" Model - Variance-Covariance Approach
For a 2-stock portfolio
Inputs
Stock 1
Volatility (per year) 10% Day Convention 252 Trading3Days Year
Stock Derivatives Ltd 252
Share Price 2.39 Confidence Interval 99% 1
Shares Owned 500,000 #NAME?
Time Horizon Considered 10 days
Stock 2
Volatility (per year) 20% Covariance of Stocks 0.3
Stock Global Ltd
Share Price 3.4
Shares Owned 750,000
Outputs for Portfolio
Total Value of Portfolio $3,745,000.00 #NAME? #NAME?
Daily Volatility 1 0.63% #NAME? #NAME?
Daily Volatility 2 1.26%
Combined Annual Volatility $35,127.16