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University Of California, Davis Operations And Supply Chain Management Assignment Help - Consider


Question - Consider the following two asset portfolio:
Asset Position Value Return Standard Deviation (%) Beta
(in thousands of USD)
A 400 3.60 0.5
B 600 8.63 1.2
Portfolio 1,000 5.92 1.0
Calculate the component VaR of asset A and marginal VaR of asset B, respectively, at 95%
confidence level?
a. USD 21,773 and 0.1306
b. USD 21,773 and 0.1169
c. USD 19,477 and 0.1169
d. USD 19,477 and 0.1306

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