wanganjie

 

The correct answer is B

Marginal VaR or MVaRi, is the change in the portfolio VaR per unit change in the weight in Fund i. The following is an expression that represents the marginal VaR of a portfolio:

 

 

下载 (1.1 KB)
Topic 74: Portfolio Risk: Analytical Methods

2009-7-2 09:42

wanganjie

 

3、With respect to marginal VaR (MVaR), which of the following is FALSE?

A) MVaR is the amount of risk a fund contributes to a portfolio. 

B) MVaR is an approximation based upon a small change in a fund’s portfolio weight.

C) MVaR can be positive or negative.

D) MVaR is a rate of change measure.

wanganjie

 

The correct answer is A

MVaR is defined as the change in the portfolio VaR per unit change in the weight in a fund. The amount of risk a fund contributes to a portfolio is the definition of component VaR (CVaR).

wanganjie

 

The correct answer is D

This is the correct formula.

 

wanganjie

 

2、Marginal VaR is best described as the change in VaR that results from:

A) subtracting idiosyncratic VaR from total VaR.

B) changing the weight on an existing position by one unit.

C) removing an existing asset from a fund. 

D) adding a new asset to a fund.