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deviation of the index returns is 120bps, estimate the 1%-DEAR and the 5%-DEAR for this portfolio. (4 points) Question 5: Patti Smith, the president of
deviation of the index returns is 120bps, estimate the 1%-DEAR and the 5%-DEAR for this portfolio. (4 points) Question 5: Patti Smith, the president of risk management for a small investment bank is estimating 1%- DEAR for the bank's trading portfolios. The bank has three investment classes, stocks, bonds and currencies. The 1%-DEAR for these three have been estimated as $158.9K, $17.8K and $32.6K, respectively. If the correlation between the investment classes is given in the table below, estimate the 1%-DEAR for the overall trading portfolios for Patti. (5 points) Bonds Forex Stocks Bonds Forex Stocks 100.0% 23.1% 8.1% 100.0% -35.1% 100.0% deviation of the index returns is 120bps, estimate the 1%-DEAR and the 5%-DEAR for this portfolio. (4 points) Question 5: Patti Smith, the president of risk management for a small investment bank is estimating 1%- DEAR for the bank's trading portfolios. The bank has three investment classes, stocks, bonds and currencies. The 1%-DEAR for these three have been estimated as $158.9K, $17.8K and $32.6K, respectively. If the correlation between the investment classes is given in the table below, estimate the 1%-DEAR for the overall trading portfolios for Patti. (5 points) Bonds Forex Stocks Bonds Forex Stocks 100.0% 23.1% 8.1% 100.0% -35.1% 100.0%
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