help me with this basic VAR calculation

Discussion in 'Chit Chat' started by OTCkrak, Mar 9, 2012.

  1. portfolio comprised of 3 bonds with 3 maturities (2013/2014/2015)33.33% weights

    fixed rate/no coupon -
    i have the pricing data going back 3 years


    is the var of a fixed rate/no coupon bond calculated the same as the var for stocks/equity? - most of the info im finding online is related to stocks and i cant find any examples of a 3 asset portfolio.

    do i need a correlation matrix?

    can/how do i use this formula for a 3 asset porfolio??


    any points would help
  2. I would ask this type of question in the Wilmott forum that focusses on quantitative finance.
  3. i will get ridiculed for bringing up such a newb question