Calculate the value at risk of two stocks.

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Description

Function to calculate the value at risk of two stocks.

Usage

1

Details

The user inputs are as follows:
Value of the first stock: to be entered in numbers for e.g. 110.50
Value of the second stock: to be entered in numbers for e.g. 170.50
mu1: the expected return- to be entered in decimals. For e.g. 0.05 for 5 per cent
mu2: the expected return- to be entered in decimals. For e.g. 0.06 for 6 per cent
Sigma1 (or Volatility) per annum: to be entered in decimals. For e.g. 0.25 for 25 per cent
Sigma2 (or Volatility) per annum: to be entered in decimals. For e.g. 0.3 for 30 per cent
Confidence level: to be entered in decimals. For e.g. 0.95 for 95 per cent
Correlation: a number between -1 and +1 to be entered in decimals. For e.g. 0.6
Horizon (in months): For e.g. enter 12 for a year
Distribution: chosen between normal/lognormal

Value

The dollar value at risk of two stocks.

Author(s)

S Subramanian <ssubramanian@sssihl.edu.in>

References

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

See Also

var1stock

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