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【FRM每日一题】二级:案例强化(3)

【FRM每日一题】二级:案例强化(3)

备考FRM二级  |  2015-10-16

A portfolio consists of two positions. The VaR of the two positions are $100 million and $20 million. If the returns of the two positions are not correlated, the VaR of the portfolio would be closest to:

A.$5.48 million

B.$15.00 million

C.$22.36 million

D.$25.00 million

Answer: C

For uncorrelated positions, the answer is the square root of the sum of the squared VaRs:

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