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Question
In calculating the value at risk (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.
Answer
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Related questions
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B. provides equity funds to companies that already have publicly traded common stock.
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