When Using the RiskMetrics Model, Price Volatility Is Calculated as

question 105

Multiple Choice

When using the RiskMetrics model, price volatility 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)None of the options.

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Probability

A mathematical measure of the likelihood that an event will occur, expressed as a number between 0 and 1.

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Probability

The likelihood of something happening or being the case, quantified as a ratio or percentage.