Financial Risk Manager Part 2
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A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the following risk measures for a 2-asset portfolio:
| Asset | Position | Individual VaR | Marginal VaR | VaR Contribution |
|---|---|---|---|---|
| 1 | USD 100 | USD 23.3 | 0.176 | USD 17.6 |
| 2 | USD 100 | USD 46.6 | 0.440 | USD 44.0 |
| Portfolio | USD 200 | USD 61.6 | USD 61.6 |
If asset 1 is dropped from the portfolio, what will be the reduction in portfolio VaR?