hard · FRM Part 1 Valuation and Risk Models
An institutional investment portfolio consists of two assets: Asset A with a market value of $60 million and daily volatility of 15%, and Asset B with a market value of $40 million and daily volatility of 25%. The correlation coefficient between the returns of the two assets is 0.30. Calculate the 99% 1-day diversified Portfolio Value at Risk (VaR) using the delta-normal approach (use z = 2.326).
- $54.67 million
- $35.66 million
- $44.20 million
- $25.21 million
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