Question
a) A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the following risk measures for a two-asset portfolio: Asset
a)A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the following risk measures for a two-asset portfolio:
Asset Position Individual VaR Marginal VaR Component VaR
1 USD 100 USD 23.3 0.176 USD 17.6
2 USD 100 USD 46.6 0.44 USD 44
Portfolio USD 200 USD 61.6 USD 61.6
Required:
- If asset 2 is dropped from the portfolio, what is the reduction in portfolio VaR?
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Matlab An Introduction with Applications
Authors: Amos Gilat
5th edition
1118629868, 978-1118801802, 1118801806, 978-1118629864
