Financial Risk Manager Part 2

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Explanation:

Component VaR = VaRp × β<sub>asset</sub> × asset weight
= $350,000 \times 0.75 \times \frac{200,000}{(200,000 \times 5)} $= `$ 350,000 \times 0.75 \times \frac{1}{5}$ = $52`,500$

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.

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Last updated: July 5, 2026 at 07:23

$52,500

$55,000

$50,000

$57,500

Financial Risk Manager Part 2

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Get started today

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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.

Comments (0)

Financial Risk Manager Part 2

Get started today

Get started today

Comments (0)

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.

Comments (0)

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.