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Part II
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Market Risk
Market Risk
Medium
A portfolio consists of two positions: $8 million in Asset X (daily vol = 2.0%) and $12 million in Asset Y (daily vol = 1.5%). The correlation between X and Y is 0.40. The 95% daily diversified VaR (z = 1.645) is closest to:
A
$370,000
B
$460,000
C
$293,000
D
$556,000
Select an answer to continue
Tags
#parametric-var
#portfolio-var
#diversification
#correlation
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