【FRM每日一题】二级：风险管理与投资管理（3）
备考FRM一级 | 2015-11-12
Given the following information, what is the percent of contribution to VaR from Asset A? There are two assets in a portfolio: A and B.|
Asset A marginal VaR |
|
|
Asset A value |
$7,000,000 |
|
Asset B marginal VaR |
|
|
Asset B value |
$4,000,000 |
A.64.04%
B.24.27%
C.35.94%
D.63.64%
Answer: C
The component VaR factors in both the marginal VaR and the asset value.
For Asset A: 0.05687×$7,000,000 = $398,090
For Asset B: 0.17741×$4,000,000 = $709,640
Asset A’s percent of contribution to VaR is A’s component VaR as a percent of total VaR:
$398,090/($398,090+$709,640) = 35.94%【FRM奖学金】
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