Sumitomo Bank's Risk Manager Has Estimated That the DEARs of Two

question 106

Multiple Choice

Sumitomo Bank's risk manager has estimated that the DEARs of two of its major assets in its trading portfolio, foreign exchange and bonds, are -$150,000 and -$250,000, respectively. What is the 10-day VAR of Sumitomo's trading portfolio if the correlation among assets is assumed to be -1.0?

• A)-$100,000.
• B)-$316,228.
• C)-$1,106,797.
• D)-$1,204,161.
• E)-$1,264,911.

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Definitions:

Conservation

In cognitive development, the understanding that certain properties of objects, such as volume or mass, remain the same even when their forms or appearances change.

Egocentrism

The cognitive inability to differentiate between one's own perspective and another person's perspective.

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A variety of conditions related to the development of the nervous system, marked by difficulties in social interaction, repetitive actions, and issues with both verbal and nonverbal communication.

Stranger Anxiety

Stranger Anxiety is a common developmental phase in infants and young children where they exhibit fear or distress around unfamiliar people.