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Reference no. 211-037-1
A new analyst has been asked to use value at risk (VaR) to evaluate the risk / return characteristics of three existing investment funds and one additional fund to be launched by a Venezuelan broker-dealer firm. The case introduces a number of different methods of calculating VaR to assess risk in the context of the Venezuelan capital markets sector. This firm is seeking investment options for its clients that would be profitable and substitute the income generated in securities lending. This new investment fund is an innovative Venezuelan sovereign bonds index, constructed by broker-dealer firm and has the advantage of having a very low correlation with the other three portfolios. This case can be used in the following Finance and Executive Education Courses: Quantitative Methods in Finance, Investment Management, Derivative Products and Financial Simulation.