What is meant by value at risk (VAR)? How is VAR related to DEAR in J. P.
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What is meant by value at risk (VAR)? How is VAR related to DEAR in J. P. Morgan’s RiskMetrics model? What would be the VAR for the bond in problem 4 for a 10-day period? What statistical assumption is needed for this calculation? Could this treatment be critical?
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Related Book For 
Financial Institutions Management A Risk Management Approach
ISBN: 9780077211332
6th Edition
Authors: Anthony Saunders, Marcia Cornett
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