Solved

Assume the Dollar Market Value of an FI's Position Is

Question 39

Multiple Choice

Assume the dollar market value of an FI's position is $200 000 with a modified duration of 4 years. The potential adverse move in the yield is 16.5 basis points. What is the VAR of the position if the FI is required to hold the position for 6 days (round to two decimals) ?


A) $1 320.00
B) $3 233.33
C) $330.00
D) $200 000.00

Correct Answer:

verifed

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Related Questions

Q7: Which of the following statements is true?<br>A)The

Q10: Which of the following statements is true?<br>A)Systematic

Q21: Which of the following statements is true?<br>A)There

Q34: Vertical offsets are calculated using the sum

Q36: Assume that the dollar market value of

Q36: Which of the following statements is true?<br>A)Under

Q43: Which of the following statements is true?<br>A)In

Q45: Which of the following statements is true?<br>A)Daily

Q55: Monte Carlo simulations address the problems imposed

Q60: Market risk is defined as the risk