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Question
Sumitomo Bank's risk manager has estimated that the DEARs of two of its major assets in its trading portfolio, foreign exchange and bonds, are -$150,000 and -$250,000, respectively.
What is the 10-day VAR of Sumitomo's trading portfolio if the correlation among assets is assumed to be -1.0?
A. -$100,000.
B. -$316,228.
C. -$1,106,797.
D. -$1,204,161.
E. -$1,264,911.
Answer
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