hard · Frm Part 2 Market Risk
A portfolio manager holds a two-asset portfolio with 60% in Asset A and 40% in Asset B. The individual standard deviations are σ_A = 20% and σ_B = 30%, with a correlation ρ = 0.25. If the total portfolio Value-at-Risk (VaR_p) at the 99% confidence level is $44.13m, calculate the Component VaR of Asset B.
- $27.91m
- $17.65m
- $24.42m
- $22.06m
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