You have been given the following VaR and iVaR statistics for a portfolio that contains three positions.
Question:
You have been given the following VaR and iVaR statistics for a portfolio that contains three positions. What is the iVaR of Position B? Assume the iVaR and VaR are both one-day 95%, and have been calculated using the same methodology.
Transcribed Image Text:
Position A Position B Position C Portfolio VaR $500 $400 $650 $1,000 iVaR $300 ? $800 ? 'V
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The iVaR of Position B is 100 For the portfolio as a w...View the full answer
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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