easy · Frm Part 2 Risk & Investment Management
If you sum the Component VaRs of all desks in a bank, the result will be:
- Greater than the bank's total Portfolio VaR.
- Exactly equal to the bank's total Portfolio VaR.
- Equal to the bank's Incremental VaR.
- Less than the bank's total Portfolio VaR due to the diversification benefit.
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