Table 3 Value-at-Risk for a portfolio of two assets (correlation ρ = 0)
c = | 0.5 | 0.4 | 0.3 | 0.2 | 0.1 | 0.05 |
|---|---|---|---|---|---|---|
VaR99% | 260.09 | 284.84 | 298.38 | 298.07 | 276.06 | 248.37 |
VaR99.5% | 287.99 | 312.17 | 323.94 | 320.39 | 292.79 | 260.53 |
VaR99.9% | 345.50 | 368.52 | 376.66 | 366.40 | 327.30 | 285.60 |