Reddit

Q.2748 A portfolio of four equal weighted assets has a total value of $2 million. The VaR of the portfolio is $450,000. If one of the assets in the portfolio has a beta of 1.2, calculate the marginal VaR of this asset. | Financial Risk Manager Part 2 Quiz - LeetQuiz

Explanation:

The correct answer is B.

Marginal VaR = $\left(\frac{\text{VaRp}}{\text{Portfolio value}}\right) \times \beta_{\text{asset}}$
= $\frac{450,000}{2,000,000} \times 1.2$
= $0.27$

Comments (0)

No comments yet.

Financial Risk Manager Part 2

Get started today

Comments (0)

Get started today

Q.2748 A portfolio of four equal weighted assets has a total value of `$2` million. The VaR of the portfolio is `$450`,000. If one of the assets in the portfolio has a beta of 1.2, calculate the marginal VaR of this asset.

Comments (0)