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Part II
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Market Risk
Market Risk
Medium
Silverstone Capital's portfolio has a VaR of $12 million. Adding a $20 million US Treasury position would change the VaR to $11.2 million. The incremental VaR of the Treasury position is:
A
-$0.8 million
B
+$0.8 million
C
$11.2 million
D
$12.0 million
Select an answer to continue
Tags
#incremental-var
#hedging
#diversification
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FRM Part II — Market Risk Practice Question | AcadiFi | AcadiFi