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Explanation:
Component VaRₐ = VaRₚ × β꜀ × w꜀ = $100,000 × 1.5 × (1/5) = $30,000
Q.2477 Portfolio X has a VaR of $100,000. The portfolio is made up of 5 assets, A, B, C, D, and E. These assets are equally weighted. If Asset C has a β of 1.5, then the component VaR of Asset C is equal to:
A
$30,000
B
$20,000
C
$40,000
D
$10,000
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