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Daily changes Mean Standard derivation Annual yield (German Bond) 0 0.001 Annual yield (U.K. Bond) 0 0.0007 FX rate (US$/) US$0/ US$0.04/ FX rate
Daily changes Mean Standard derivation Annual yield (German Bond) 0 0.001 Annual yield (U.K. Bond) 0 0.0007 FX rate (US$/) US$0/ US$0.04/ FX rate (US$/) US$0/ US$0.09/ The correlations of their daily changes are given by Daily changes Annual yield Annual yield FX rate FX rate (German Bond) (U.K. Bond) (US$/) (US$/) Annual yield 1 0.6 -0.5 -0.3 (German Bond) Daily Annual yield 0.6 1 -0.1 -0.4 Changes (U.K. Bond) FX rate (US$/) -0.5 -0.1 1 0.8 FX rate (US$/) -0.3 -0.4 0.8 1 Under the RiskMetrics model, find the 95% DEAR of the portfolio in USD.
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Finance Applications and Theory
Authors: Marcia Cornett, Troy Adair
3rd edition
1259252221, 007786168X, 9781259252228, 978-0077861681
