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

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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?

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Quantitative Financial Risk Management

ISBN: 9781119522201,9781119522263

1st Edition

Authors: Michael B. Miller

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Question Posted: Mar 03, 2024 10:29 AM

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

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The VaR of the portfolio would be approximately 106 ...View the full answer

Quantitative Financial Risk Management

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