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Incremental VaR using Beta Co-efficient
Hi David, Could you please justify on how to calculate Incremental VaR using Beta. A $20 million portfolio consists of only two equally-weighted and uncorrelated positions in Asset A & B. Asset A ($10 million) has a volatility of 10% and Asset B (also @10 million) has a volatility of 20%...- rahul.goyl
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- Forum: P2.T5. Market Risk (25%)