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

Question 46

Multiple Choice

Assume the dollar market value of an FI's position is $200 000 and the calculated price volatility is 1.25 per cent. What is the VAR of the position if the FI is required to hold the position for 6 days (round to two decimals) ?


A) $2 683.28
B) $6 123.72
C) $200 000.00
D) $489 897.95

Correct Answer:

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