Using the delta-gamma methodology

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Reference no: EM131084628

The crude oil trader’s risk report shows that the delta and the gamma of his portfolio are +10,000 and -2,000 respectively. Using the delta-gamma methodology, what is the VaR of this portfolio assuming that a price change of $5 per barrel is considered as an extreme move?

a) $25,000

b) $50,000

c) $55,000

d) $75,000

Reference no: EM131084628

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