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Q.4712 A portfolio is made up of two uncorrelated positions. The VaR of position one (VaR₁) is $3 million while that of position two (VaR₂) is $2 million. Calculate the portfolio VaR. | Financial Risk Manager Part 2 Quiz - LeetQuiz

Explanation:

The correct answer is A.

Since the positions are uncorrelated,

$\text{VaR}_p = \sqrt{\text{VaR}_1^2 + \text{VaR}_2^2} = \sqrt{3^2 + 2^2} = 3.606 \text{ million}$

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Q.4712 A portfolio is made up of two uncorrelated positions. The VaR of position one (VaR₁) is `$3` million while that of position two (VaR₂) is `$2` million. Calculate the portfolio VaR.

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