NO.PZ2019042401000040
问题如下:
A portfolio consists of two assets :X and Y.Asset X has a value of $5,000,000 and a marginal VaR of 0.0452; Asset Y has a value of $3,000,000 and a marginal VaR of 0.0332; what is the percent of contribution to VaR from Asset X?
选项:
A.
30.59%.
B.
25.12%.
C.
69.41%.
D.
69.18%.
解释:
C is correct.
考点: percent of contribution to VaR
解析:
第一步,计算component VaR:
X: 0.0452 x $5,000,000 = $226,000.
Y: 0.0332 x $3,000,000 = $99,600.
第二步:计算percent of contribution to VaR
Asset X’s percent of contribution to VaR= $226,000/($226,000 + $99,600) = 69.41%.
CVaR\VaR=wi*贝塔i