A risk manager at a small bank is using Euler's theorem to calculate the contributions of individual loans to the VaR of a loan portfolio. The portfolio VaR is GBP 20,300. Information on the 3 loans in the portfolio is shown below: | | Loan 1 | Loan 2 | Loan 3 | |----------------|------------|------------|------------| | Loan amount (GBP) | 180,000 | 200,000 | 160,000 | | Loan VaR (GBP) | 10,000 | 8,000 | 9,500 | | Increase in portfolio VaR if loan VaR is increased by 1% | 58.1 | 65.6 | ? | | Loan pair | Correlation | |-------------------|-------------| | Loan 1 and Loan 2 | 0.1 | | Loan 1 and Loan 3 | 0.1 | | Loan 2 and Loan 3 | 0.8 | Which of the following is closest to the contribution of Loan 3 to the portfolio VaR? | Financial Risk Manager Part 1 Quiz - LeetQuiz