Explanation:
The correct answer is A.
Component VaR = VaRp × βₐₛₛₑₜ × asset weight
= $350,000 \times 0.75 \times \frac{200,000}{(200,000 \times 5)}350,000 \times 0.75 \times \frac{1}{5}$ = $52`,500
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Q.2749 A portfolio consists of five equally weighted assets each having a value of $200,000. The VaR of the portfolio is $350,000. If the beta of one of the assets is 0.75, calculate the component VaR for this asset.
A
$52,500
B
$55,000
C
$50,000
D
$57,500
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