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

question 34

Multiple Choice

In calculating the value at risk (VAR) of fixed-income securities in the Risk Metrics 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 these.
• 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.