hard · FRM Part 1 Valuation and Risk Models
An investor holds a $10 million portfolio of two assets. Asset A has a weight of 60% and a daily volatility of 2%. Asset B has a weight of 40% and a daily volatility of 3%. If the correlation between the assets is -1.0, what is the 99% one-day VaR of the portfolio? (Use z_0.99 = 2.326)
- $55,824
- $465,200
- $232,600
- $0
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