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Part II
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Market Risk
Market Risk
Medium
A portfolio has three positions with component VaRs of $4.8 million (US equities), $0.8 million (US bonds), and $2.4 million (EM equities). The total portfolio VaR is closest to:
A
$8.0 million
B
$5.4 million
C
$12.7 million
D
$6.2 million
Select an answer to continue
Tags
#component-var
#additive-property
#risk-decomposition
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