Our Lecturer has not explained Portfolio Risk in sufficient detail when there is a positive correlation.
Can anyone give me the formula for this question please:
A portfolio has 12 exposures – each of which has an expected loss of £ 400,000 with a total loss probability of 0.2. There is also a correlation of +.4 between each pairing.
Calculate the overall portfolio risk.
Explain and illustrate how this portfolio risk can be reduced.
Can anyone give me the formula for this question please:
A portfolio has 12 exposures – each of which has an expected loss of £ 400,000 with a total loss probability of 0.2. There is also a correlation of +.4 between each pairing.
Calculate the overall portfolio risk.
Explain and illustrate how this portfolio risk can be reduced.