In Calculating the Value at Risk (VAR) of Fixed-Income Securities

question 10

Multiple Choice

In calculating the value at risk (VAR) of fixed-income securities in the RiskMetrics model,

• A)the VAR is related in a linear manner to the DEAR.
• B)the price volatility is the product of the modified duration and the adverse yield change.
• C)the yield changes are assumed to be normally distributed.
• D)All of the options.
• E)the price volatility is the product of the modified duration and the adverse yield change and the yield changes are assumed to be normally distributed.

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Definitions:

Generativity

The concern for establishing and guiding the next generation, commonly expressed during middle adulthood.

Age Discrimination

Unfair treatment or prejudice against individuals based on their age, particularly prevalent in the workplace but can occur in other contexts.

Seniority

The concept that privileges, priorities, or status are granted to individuals on the basis of their tenure or length of service in a particular context or organization.

Dismissing Diversity

Overlooking or undervaluing the importance of a diverse range of cultures, ideas, and identities.