10-50 in the JPM RiskMetrics Model,VAR Is Calculated as
A)the $\surd{N}$

question 63

Multiple Choice

10-50 In the JPM RiskMetrics model,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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