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# Value at risk

#### naufalhaifa

##### New Member
Hi David,

Suppose you have a portfolio with a long position of $2 million in BAA bonds and short$1m in T-notes. Volatility are 1.58% and 1.90% per month, respectively, with a correlation of 0.9654.
a) Compute the 95% monthly VAR for each position individually
b) Compute the 95% portfolio VAR and diversification effect
c) Compute the component VAR and discuss whether some positions hedge the portfolio risk

I can't get the answer for question b) and c). For question b) the answer is \$ 23,352. How to derive the answer.

Thank you