The correct answer is B, which stands for CNY 1.437 million. The component Value-at-Risk (VaR) of stock Y can be calculated using the formula:

$\text{CVaRt} = \text{VaRt} \times \rho_{T,P}$

where:

• $\text{CVaRt}$ is the component VaR for stock T.
• $\text{VaRt}$ is the VaR of stock T.
• $\rho_{T,P}$ is the correlation coefficient between stock T and the portfolio.

Given:

• The portfolio's annualized standard deviation of returns is 16%.
• The stock Y's annualized standard deviation of returns is 12%.
• The correlation of returns between the portfolio and stock Y is 0.52.
• The 95% confidence factor for the VaR estimate (α) is 1.645.

First, calculate the VaR of stock Y ($\text{VaRt}$) using its weight in the portfolio ($w_T$), its standard deviation ($\sigma_T$), and the 95% confidence factor:

$\text{VaRt} = w_T \times \sigma_T \times \alpha(95\%)$

$\text{VaRt} = \frac{14}{124} \times 0.12 \times 1.645$

$\text{VaRt} = 0.1136 \times 0.12 \times 1.645$

$\text{VaRt} = 0.103 \text{ million CNY}$

Then, calculate the component VaR of stock Y:

$\text{CVaRt} = 0.52 \times 0.103$

$\text{CVaRt} = 0.05352 \text{ million CNY}$

However, the provided explanation in the file content has a discrepancy in the calculation of $\text{VaRt}$. It incorrectly uses CAD 15 million as the weight of stock T and a standard deviation of 0.13, which are not provided in the question. The correct calculation should be based on the information given in the question:

$\text{VaRt} = \frac{14}{124} \times 0.12 \times 1.645$

After correcting the calculation, we find that the component VaR of stock Y is approximately CNY 0.103 million, which corresponds to option A, not B. Therefore, the correct answer provided in the file content is incorrect based on the given information and calculations.