NO.PZ2023091701000137
问题如下：
A risk manager at a small bank is using Euler’s theorem to calculate the contributions of individual loans to the VaR of a loan portfolio. The portfolio VaR is GBP 20,300. Information on the 3 loans in the portfolio is shown below:
Which of the following is closest to the contribution of Loan 3 to the portfolio VaR?
选项：
A.GBP 6,015 B.GBP 6,320 C.GBP 7,013
D.GBP 7,930
解释：
D is correct. In its application to credit risk, Euler’s theorem states that:
and that (in the
limit, as Δxigoes to zero):
where F is a (homogeneous) risk measure for a portfolio, xi is the same risk measure calculated for one component position in the portfolio, Δxi is a small change in this risk measure, and ΔFi is the resultant change in the portfolio’s risk measure.
Therefore, using the information given:
