During my 2nd MSc in UC3M I had to undertake several Financial Economcis and Business modules. During module No3 we had to present a final project for the Value-at-Risk formula. My team chose eight stocks, and computed their log- returns. We had to compute the variance-covariance matrix of these stock returns, look at the matrix values, and form two groups: Portfolio A, which contains the four stocks more (positive) correlated among them, and Portfolio B, which groups the four stocks opposite correlated among them.

Finally we had to decompose the VaR model and based on the parametric linear model, calculate the marginal 1% 1-month VaR associated to each stock in both percentages and in cash values while considering a re-balancing scenario and compute the incremental VaR associated to the new portfolio composition.