portfolio VaR

Yellow: Inputs/assumptions

Blue: Matrix math

Green: Key Var calcs (marginal VaR, Inc'l VaR, Component VaR)

Portfolio inputs:

CAD

EUR

Confidence

95%

Position

$200 

$100 

Critical z

1.645

Volatility

5.0%

12.0%

Tot Portfolio

$300 

Matrix math:

Correlation

0.00

Positions (x')

Var-Covar Matrix (sigma)

Positions (x)

Var-Covar

 0.0025 

 - 0 

$200 

$100 

0.0025

0.00

$200 

Matrix:

 - 0 

 0.0144 

0.00

0.0144

$100 

Portfolio

Variance

244.00

Positions (x')

(sigma)(x)

x'(sigma)x

Volatility

$15.62

$200 

$100 

0.5

$244 

VaR

$25.69

1.44

Individual Positions

CAD

EUR

Positions

$200 

$100 

Volatility

5.0%

12.0%

(sigma)(x)

$0.50

$1.44

These two bypass the Var-Covar matrix:

Individual VaR

$16.45

$19.74

LO 9.3 Uncorrelated VaR

$25.69

Beta

0.615

1.770

LO 9.3 Diversified VaR

$36.19

Marginal VaR

0.053

0.152

Incremental Position

CAD

EUR

+/- Position

 0.0100 

 - 0 

(x Marg'l VaR)

 0.0005 

 - 0 

Incremetal VaR

 0.0005 

 - 0 

Component VaR

$10.53

$15.16

Percent Contrib.

41%

59%