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Part II
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Market Risk Measurement and Management
Market Risk Measurement and Management
Medium
Westbrook Bank has three trading desks with VaRs of $12M, $18M, and $8M. The pairwise correlations are all 0.4. The diversified firm-wide VaR using the variance-covariance approach is closest to:
A
$28.3 million
B
$38.0 million
C
$22.0 million
D
$15.4 million
Select an answer to continue
Tags
#risk-aggregation
#diversification
#variance-covariance
#portfolio-var
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