Financial Risk Manager Part 1
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Q-76. A portfolio has delta (Δ) = 100,000, gamma (Γ) = -50,000, and VAR(dS) = 2. What is the VaR using the delta-gamma approximation?
Q-76. A portfolio has delta (Δ) = 100,000, gamma (Γ) = -50,000, and VAR(dS) = 2. What is the VaR using the delta-gamma approximation?
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A
$100,000
B
$200,000
C
$300,000
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