e I Calculate portfolio VaR with delta normal method First scale up volatility

E i calculate portfolio var with delta normal method

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Question 2.e ICalculate portfolio VaR with delta-normal method?
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Risk Management RSM04FI Tutorial 4 Question 3.a IRecognize the derivative: your favorite game show ;-)
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Risk Management RSM04FI Tutorial 4 Question 3.b I Make portfolios delta and vega neutral Steps to take: 1 Calculate total exposures 2 Make vega neutral with option 3 Calculate new delta 4 Make delta neutral with spot
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Risk Management RSM04FI Tutorial 4 Question 3.b II
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Risk Management RSM04FI Tutorial 4 Question 3.c ICalculate value change of hedged portfolioPortfolio still has Gamma!How much? New Gamma:
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Risk Management RSM04FI Tutorial 4 Question 3.d I Improving Hedge accuracy Two options 1 Also make gamma neutral 2 Rebalance more frequently
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Risk Management RSM04FI Tutorial 4
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