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A risk manager is *uating a pairs trading strategy recently initiated by one of the firm’s traders. The strategy involves establishing a long position in Stock A and a short position in Stock B. The following information is also provided:
1-day 99% VaR of Stock A is USD 100 million
1-day 99% VaR of Stock B is USD 125 million
The estimated correlation between long positions in Stock A and Stock B is 0.8
Assuming that the returns of Stock A and Stock B are jointly normally distributed, the 1-day 99% VaR of the combined positions is closest to?
A. USD 0 million
B. USD 75 million
C. USD 160 million
D. USD 225 million
Answer: B
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