Question
Assume portfolio X has a VaR of $500,000. The portfolio is made up of four assets: Asset A, Asset B, Asset C, and Asset D.
Assume portfolio X has a VaR of $500,000. The portfolio is made up of four assets: Asset A, Asset B, Asset C, and Asset D. These assets are equally weighted within the portfolio and are each valued at $1,000,000. Asset A has a beta of 1.2.
(a) Calculate the marginal VaR of Asset A.
(b) If you increase the position in Asset A by $300,000, approximate the incremental VaR associated with the trade.
(c)Calculate the component VaR of Asset A.
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Public Finance
Authors: H L Bhatia
30th Edition
9390080258, 978-9390080250
