Question
The price volatility component of DEAR for fixed-interest security is a product of Modified duration and adverse move in yield Price sensitivity of the position
- The price volatility component of DEAR for fixed-interest security is a product of
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Modified duration and adverse move in yield
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Price sensitivity of the position and the dollar market value of the position
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the dollar market value of the position and the adverse move in yield
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all of them are correct
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Bank Two has determined that its inventory of 20 million euros (EUR) is subject to market risk. The spot exchange rates are $0.40/EUR . The s of the spot exchange rates of the EUR based on the daily changes of spot rates over the past six months is 65 bp. Determine the banks 10-day VAR for this currency. Use adverse rate changes in the 99th percentile.
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$85,800
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$271,232
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$121,160
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$101,920
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