medium · FRM Part 2 Risk & Investment Management
A portfolio has a total VaR of 50 million. It contains a position with a market value of 200 million and a beta (β) relative to the portfolio of 1.2. Using the relationship between beta and risk decomposition, calculate the Component VaR of this position.
- 41.6 million
- 240 million
- 60 million
- 12 million
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