EXPECTED RISK CALCULATION

[sunandaC]

EXPECTED RISK CALCULATION

PORTFOLIO RISK = SQRT ((XX2*SDX2) + (XY2*SDY2) + (2*XX*XY* (rXY*SDX2*SDY2)))]

Where,

Xx, Xy = proportion of total portfolio invested in security X& Y respectively

sdx, sdy = standard deviation of stock X & stock Y respectively

rxy = correlation coefficient of x & y

 

[bhautik.kawa]

EXPECTED RISK CALCULATION

PORTFOLIO RISK = SQRT ((XX2*SDX2) + (XY2*SDY2) + (2*XX*XY* (rXY*SDX2*SDY2)))]

Where,

Xx, Xy = proportion of total portfolio invested in security X& Y respectively

sdx, sdy = standard deviation of stock X & stock Y respectively

rxy = correlation coefficient of x & y

Hey Sunanda,

Here i am sharing information on Expected and Unexpected Losses in Operational Risk by Simulation Methods, please check attachment below.

Thank you!