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In calculating the value at risk (VAR) of fixed-income securities in the RiskMetrics model, the price volatility is the product of the modified duration

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In calculating the value at risk (VAR) of fixed-income securities in the RiskMetrics model, the price volatility is the product of the modified duration and the adverse yield change. the VAR is related in a linear manner to the DEAR. the yield changes are assumed to be normally distributed. All of the options. the price volatility is the product of the modified duration and the adverse yield change and the yield changes are assumed to be normally distributed.

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