Description Usage Details Value Author(s) References See Also

Function to calculate the value at risk of two stocks.

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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

The dollar value at risk of two stocks.

S Subramanian <ssubramanian@sssihl.edu.in>

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

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