hard · FRM Part 1 Valuation and Risk Models
A risk manager is evaluating a $50 million portfolio with two assets. Asset 1 has a weight of 60% and a beta to the portfolio of 1.15. Asset 2 has a weight of 40% and a beta to the portfolio of 0.775.
If the total portfolio VaR is $8 million, what is the Component VaR of Asset 1?
- $9.20 million
- $4.80 million
- $2.48 million
- $5.52 million
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