In the RiskMetrics Model,value at Risk (VAR)is Calculated as
A)the $\surd$

question 35

Multiple Choice

In the RiskMetrics model,value at risk (VAR) 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 \( \surd\)N.
• E)DEAR times the \( \surd\)N.

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Definitions:

Path Analysis

A statistical technique used to describe the directed dependencies among a set of variables.

Multivariate Analysis

A set of statistical techniques used to analyze data that involves more than one variable, understanding the effect and relationships among them.

Discriminant Analysis

A statistical technique used to classify observations into predefined categories based on several predictor variables.