Financial Risk Manager Part 2

Ultimate access to all questions.

Explanation:

The formula for calculating the VaR of a specific asset in a portfolio is:

\text{VaR of Asset} = \text{Asset Value} \times z\text{-value} \times \text{Asset's Standard Deviation}

where the z-value for a 99% VaR is 2.33 (or more precisely 2.326).

Plugging in the given values, we get:

\begin{aligned} \text{VaR of bond X} &= 20,000,000 \times 2.326 \times 0.09 \\ &= 4,186,800 \end{aligned}

Therefore, the VaR of bond X is CAD 4,186,800

Explanation:

The formula for calculating the VaR of a specific asset in a portfolio is:

\text{VaR of Asset} = \text{Asset Value} \times z\text{-value} \times \text{Asset's Standard Deviation}

where the z-value for a 99% VaR is 2.33 (or more precisely 2.326).

Plugging in the given values, we get:

\begin{aligned} \text{VaR of bond X} &= 20,000,000 \times 2.326 \times 0.09 \\ &= 4,186,800 \end{aligned}

Therefore, the VaR of bond X is CAD 4,186,800

Comments (0)

No comments yet.

Exam-Like

Community

UAnonymous

Last updated: July 5, 2026 at 07:18

CAD 1,453,879.

CAD 4,186,800.

CAD 5,813,777.

CAD 4,636,800.