Value at Risk – Calculating Portfolio VaR for multiple securities with & without VCV Matrix .In an earlier VCV Matrix post we had presented the theoretical proof of how the portfolio VaR obtained using the short cut weighted average return method produces the same result as would have been obtained if a detailed Variance Covariance […]
Calculating Value at Risk (VaR) with or without VCV matrix
- Post author:Finance Training Course
- Post published:May 21, 2013
- Post category:Blog