component-var

Learning objectives: Define, calculate, and distinguish between the following portfolio VaR measures: diversified and undiversified portfolio VaR, individual VaR, incremental VaR, marginal VaR, and component VaR. Explain the impact of correlation on portfolio risk. Questions: 21.5.1. Patricia...

Hi, Mr. Harper, for this question, I choose the correct answer A. But I still have a question on component VaR. By definition on the notes, "Component VaR for position i, denoted CVaRi, is the amount a portfolio VaR would change from deleting that position in a portfolio." In this...

Hi, Andrew raises a good question here, with respect to GARP's sample question. The setup gives a typical two-asset portfolio with correlations and asks, "If asset 1 is dropped from the portfolio, what will be the reduction in portfolio VaR?" I think that's a bit of a mean question because it...