The component Value-at-Risk (VaR) for stock Y is calculated using the formula:

$CVaRy = \rho_{py} \cdot w_y \cdot \sigma_y \cdot \alpha(95\%)$

where:

• $\rho_{py}$ is the correlation coefficient between stock Y and the portfolio, which is 0.52.
• $w_y$ is the value of stock Y, which is CNY 14 million.
• $\sigma_y$ is the standard deviation of stock Y returns, which is 12% or 0.12.
• $\alpha(95\%)$ is the 95% confidence factor for the VaR estimate, which is 1.645.

Plugging in the values:

$VaRy = w_y \cdot \sigma_y \cdot \alpha(95\%) = 14,000,000 \cdot 0.12 \cdot 1.645 = 2,763,600$

$CVaRy = 0.52 \cdot 2,763,600 = 1,437,072$

Rounded to the nearest whole number, the component VaR of stock Y is approximately CNY 1.437 million, which corresponds to option B.