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

question 43

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 total DEAR of Sumitomo's trading portfolio if the correlations among assets are ignored?

• A)-$100,000.
• B)-$291,548.
• C)-$350,000.
• D)-$380,789.
• E)-$400,000.

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