Financial Risk Manager Part 2
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Bruce, FRM, is testing the sensitivity of the VaR model to changes in positions. Which of the following statements is correct regarding the VaR model's sensitivity analysis?
Bruce, FRM, is testing the sensitivity of the VaR model to changes in positions. Which of the following statements is correct regarding the VaR model's sensitivity analysis?
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The sensitivity of VaR to the position is dependent on the share of the position in the portfolio and the sensitivity of the overall portfolio value to the position value.
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