Multiple Choice
In the RiskMetrics model, value at risk (VAR) is calculated as
A) the price sensitivity times an adverse daily yield move.
B) the dollar value of a position times the price volatility.
C) the dollar value of a position times the potential adverse yield move.
D) the price volatility times the √N.
E) DEAR times the √N.
Correct Answer:
Verified
Correct Answer:
Verified
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