Multiple Choice
Sumitomo Bank's risk manager has estimated that the DEARs of two of its major assets in its trading portfolio,foreign exchange and bonds,are -$150,000 and -$250,000,respectively.
What is the 10-day VAR of Sumitomo's trading portfolio if the correlation among assets is assumed to be -1.0?
A) -$100,000.
B) -$316,228.
C) -$1,106,797.
D) -$1,204,161.
Correct Answer:
Verified
Correct Answer:
Verified
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