easy · Frm Part 2 Risk & Investment Management
Which of the following is a common error when evaluating a potential trade using Marginal VaR?
- Including the correlation between the new trade and the existing book.
- Calculating the derivative with respect to position size.
- Using a 99% confidence level instead of a 95% level.
- Assuming the risk impact is linear and neglecting the trade's own variance.
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