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Suppose a portfolio consists of a USD 2 million investment in Euros and a USD 1.05 million investment in AUDs. Additional information is given below:

Suppose a portfolio consists of a USD 2 million investment in Euros and a USD 1.05 million investment in AUDs. Additional information is given below:

  • Portfolio beta of Euro is 0.89;
  • Portfolio beta of AUD is 1.17;
  • Diversified Portfolio VaR is USD 697000;

Based on the given information, the marginal VaR of the AUD position is Answer. Note that marginal VaR is unitless. Please enter your answer in decimals and use four decimal places.

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