Question
ICBC Bank's risk manager has estimated that the DEARs of two of its major assets in its trading portfolio, foreign exchange and bonds, are $270000
ICBC Bank's risk manager has estimated that the DEARs of two of its major assets in its trading portfolio, foreign exchange and bonds, are $270000 and $120000, respectively. What is the total DEAR of ICBC's trading portfolio if the correlation among assets is assumed to be 0.83?
a. $394392.08
b. $183073.76
c. $375611.50
d. $390000.00
e. $356830.93
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Financial Analysts Indispensable Pocket Guide
Authors: Ram Ramesh
1st Edition
0071361561, 978-0071361569
