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PORTFOLIO B : $50mm notional of 5-yr Treasury notes + $50mm notional of 10-yr Treasury notes For PORTFOLIO B explain the statements: Higher overall positive
PORTFOLIO B: $50mm notional of 5-yr Treasury notes +
$50mm notional of 10-yr Treasury notes
For PORTFOLIO B explain the statements:
Higher overall positive correlation between the shock sets should lead to a higher VaR. But this is not certain because the correlation over the entire window (overall correlation) can be close to zero while its positive when we examine only the big-move days.
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