VaR observed at 95% Asset1 Asset2 Asset3 Value 500 200 300 Vol 10% 20% 30% What...

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VaR observed at 95% Asset1 Asset2 Asset3 Value 500 200 300 Vol 10% 20% 30% What is the marginal in VaR dollars? Correlation 100% 50% -10% 50% 100% 50% -10% 50% 100% What is the marginal VaR in percent? What is the change in VaR when an additional $50 is invested in Asset 3? How to use excel to calculate the above? <- Dollar change <- Percentage point change You are the market risk manager and a trader is over the risk limit for this porfolio of risk. Which asset should you tell the trader is contributing the most to the trader's risk? VaR observed at 95% Asset1 Asset2 Asset3 Value 500 200 300 Vol 10% 20% 30% What is the marginal in VaR dollars? Correlation 100% 50% -10% 50% 100% 50% -10% 50% 100% What is the marginal VaR in percent? What is the change in VaR when an additional $50 is invested in Asset 3? How to use excel to calculate the above? <- Dollar change <- Percentage point change You are the market risk manager and a trader is over the risk limit for this porfolio of risk. Which asset should you tell the trader is contributing the most to the trader's risk?

Answer rating: 100% (QA)

To calculate the marginal VaR dollars and percentage we need to follow these steps 1 Calculate the V... View the full answer