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As I can see that your portfolio weights are incorrect, as well as uncertain about what the exposure is, I will try to give you a derivation that you hopefully can find an intuition for. Your portfolio consists of two assets A basket/collection of equity with a market price $S$ USD per unit of equity. Assume you hold $n_s$ such units with a total dollar ...

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The historical volatilities of the market factors is not the same as the implied volatilty used to price the options. The "implied volatility" is just one of the model inputs. It does not need to be similar to the historical volatility of the underlying. The mark to market of an option is the premium that one would have to pay in the market for this option. ...

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Without any additional information, and disregarding potential problems of VaR subadditivity, adding VaR figures is usually deemed conservative. For a meaningful risk measure, we usually require $$Risk(X+Y) \leq Risk(X) + Risk(Y)$$ In your example: Simply adding the VaR figures per currency is sufficiently conservative, if no correlation is assumed. ...

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