怎么从定义式来计算

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%.