5333金融与交易困难数值题short
Missing Marginal VaR From Euler Breakdown
题目
A risk report shows total Euler portfolio VaR of 2.4. Desk A contributes 0.7 and Desk B contributes 0.9. Desk C has weight 0.5, and its component VaR is the residual needed to make the Euler contributions sum to total VaR. What marginal VaR must Desk C have?
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