[R-SIG-Finance] Portfolio VaR and Asset VaR
bogaso.christofer at gmail.com
Wed Jun 3 05:55:07 CEST 2015
Let say I have a diversified portfolio of 5 assets. The individual
Asset VaRs for them are $A, $B, $C, $D, & $E. And the overall
portfolio VaR is $P. Assumed all VaR numbers are reported in absolute
It appears that P is less than all 5 individual VaRs.
Can that happen? I know that P < (A+B+C+D+E). However here in my
calculation what happened is P is less than each asset VaR.
Appreciate your view.
Thanks and regards,
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