Financial Risk Manager Part 2
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Calculate the component VaR of asset A and marginal VaR of asset B, respectively, at the 95% confidence level.
Calculate the component VaR of asset A and marginal VaR of asset B, respectively, at the 95% confidence level.
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A
USD 21,773 and 0.1306
B
USD 21,773 and 0.1169
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