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.