What is closest to the correct estimate for the component VaR of the financial asset?
A. CNY 3,240,000
B. CNY 3,495,000
C. CNY 6,930,000
D. CNY 7,000,000
Answer:A
What is closest to the correct estimate for the component VaR of the financial asset?
A. CNY 3,240,000 B. CNY 3,495,000 C. CNY 6,930,000 D. CNY 7,000,000
Explanation: : A is correct. Marginal VaRF = F*(Portfolio VaR)/(Portfolio Value). So,