When Using the RiskMetrics Model, Price Volatility Is Calculated as

question 47

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 above.

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Definitions:

Accurate

Describes information, measurements, or results that are exact, precise, and free from errors or mistakes.

Cent

A monetary unit equal to one hundredth of a larger unit, such as a dollar or euro.

Milligrams

A unit of mass equal to one thousandth of a gram, used primarily to measure small quantities of material.

Significant Figures

The digits in a number that are meaningful in terms of accuracy and precision, often used in scientific measurements.