The total VaR of a portfolio is $10 million. The portfolio contains a position in XYZ worth

Question:

The total VaR of a portfolio is $10 million. The portfolio contains a position in XYZ worth $1 million, with an iVaR of $3 million. What would the approximate VaR of the portfolio be if the XYZ position was increased to $1.2 million?

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: