Suppose that the portfolio considered in Section 22.2 has (in $000s) 3,000 in DJIA
Chapter 22, Problem 22.22(choose chapter or problem)
Suppose that the portfolio considered in Section 22.2 has (in $000s) 3,000 in DJIA, 3,000 in FTSE, 1,000 in CAC 40 and 3,000 in Nikkei 225. Use the spreadsheet on the authors website to calculate what difference this makes to the one-day 99% VaR that is calculated in Section 22.2.
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