Explanation:

Since the positions are uncorrelated,

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

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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Last updated: July 5, 2026 at 07:23

$3.606 million

$5.000 million

$1.198 million

$2.504 million

Financial Risk Manager Part 2