hard · FRM Part 1 Valuation and Risk Models
A $200 million portfolio has a 1-day 99% VaR of $8 million. If the portfolio comprises a position with 30% weight and a beta to the portfolio of 1.4, calculate the Component VaR for this position.
- $4.64 million
- $11.20 million
- $3.36 million
- $2.40 million
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