Answered step by step
Verified Expert Solution
Question
1 Approved Answer
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
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.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started