medium · Quantitative Finance
Two trading desks each have a 1-day 99% Value-at-Risk (VaR) of $10M. The P&L of the two desks has a correlation of ρ = 0.6.
Assuming joint normality, what is the combined 99% VaR of the two desks?
- $16.00M
- $17.89M
- $20.00M
- $14.14M
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