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Calculate the marginal var of asset a

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Problem - Assume Portfolio X has a VaR of $500,000. The portfolio is made up of four assets: Asset A, Asset B, Asset C, and Asset D. These assets are equally weighted within the portfolio and are each valued at $1,000,000. Asset A has a beta of 1.3.

a. Calculate the marginal VaR of Asset A.

b. Interpret the marginal VaR of Asset A.

c. If you increase the position in Asset A by $400,000, approximate the incremental VaR associated with the trade.

d. Interpret the incremental VaR from the previous step.

e. Calculate the component VaR of Asset A. f. Interpret the component VaR of Asset A.

Reference no: EM132954095

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