Question
Ques14: Select the TRUE statement(s) from the following: Select one or more: a. Regulators include market risk of an institution when determining the required level
Ques14:
Select the TRUE statement(s) from the following:
Select one or more:
a. Regulators include market risk of an institution when determining the required level of capital an FI must hold.
b. The N-day Market value at risk (VAR) is defined as the daily earnings at risk (DEAR) times the number of days (N).
c. Calculating the risk of a multi-asset trading portfolio requires the consideration of the correlations of returns between the different assets.
d. The DEAR of a portfolio of assets is simply the weighted average of each individual assets' DEAR.
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