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
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
Question Posted: