Question
The VaRs calculated for three groups in a bank are $20 million, $40 million, and $60 million, respectively. The correlations between the losses are -0.25
The VaRs calculated for three groups in a bank are $20 million, $40 million, and $60 million, respectively. The correlations between the losses are -0.25 (between Groups 1 and 2), 0.35 (between 1 and 3), and -0.15 (between 2 and 3). Estimate the total VaR for the bank.
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Accounting Ledger Book
Authors: Alpha Planners Publishing
1st Edition
B09VWKPJSG, 979-8432472564
