10-47 in Calculating the VAR of Fixed-Income Securities in the RiskMetrics

question 16

Multiple Choice

10-47 In calculating the VAR of fixed-income securities in the RiskMetrics 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 the above.
• E)Answers B and C only.

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