Which of the Following Statements Is True

question 48

Multiple Choice

Which of the following statements is true?

• A)Daily price volatility is calculated as the price sensitivity to a small change in yield multiplied by the adverse daily yield move.
• B)Daily price volatility is calculated as the negative modified duration of a security multiplied by the adverse daily yield move.
• C)The daily price volatility of a security influences how much an FI might lose in case of adverse market movements.
• D)All of the listed options are correct.

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Definitions:

Time-Series Model

Statistical models used to analyze or forecast data points collected or indexed in time order.

Past Data Points

Historical values or observations that have been recorded and can be analyzed to understand trends or patterns.

Linear-Regression Analysis

A straight-line mathematical model to describe the functional relationships between independent and dependent variables.

Independent Variables

Variables in statistical or mathematical modeling that are manipulated or changed to assess their effect on dependent variables.