Assume the Dollar Market Value of an FI's Position Is

question 58

Multiple Choice

Assume the dollar market value of an FI's position is $200 000 with a modified duration of four years.The potential adverse move in the yield is 16.5 basis points.What is the VAR of the position if the FI is required to hold the position for 6 days (round to two decimals) ?

• A)$1320.00
• B)$3233.33
• C)$330.00
• D)$200,000.00

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Definitions:

Conservative Solution

A Conservative Solution refers to a strategy or approach that leans towards traditional values and the avoidance of risk in the context of economic, political, or social issues.

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A situation where individuals or families rely on government welfare programs as their main source of income over extended periods.

Under 18

A term typically referring to individuals who are below the age of 18, often used in contexts regarding employment, legal responsibilities, and rights.

Poor

The state of having insufficient financial resources to meet basic living expenses such as food, clothing, and housing, resulting in a low standard of living.