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.

---

Definitions:

Amazon

A multinational technology company focusing on e-commerce, cloud computing, digital streaming, and artificial intelligence, known for its impact on various industries.

XML

Extensible Markup Language, a flexible text format used for the structured storage and transport of information, widely employed in the encoding of data for internet-based applications.

HTML

Hypertext Markup Language, the standard markup language used to create and design web pages.

Markup Languages

Coded languages used to annotate text or data with instructions for processing or formatting, such as HTML and XML.