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Jeremy Lim just graduated from Havard University and joined the risk management team at City Bank. He wants to calculate the DEAR of one of the bank's trading position. After applying the RiskMetric approach and assuming a 5-percent adverse market movement scenario, he calculates DEAR = $3,000. How should he interpret the number $3,000 in terms of the market risk of the trading position? Select one: a. The bank will lose $3,000 or more with a 5% probability. b. The bank will lose $3,000 or less with a 5% probability c. The bank will lose exactly $3,000 over the next day. d. The bank will lose at most $3,000 over the next day. e. The bank will lose at least S3,000 over the next day. Jeremy Lim just graduated from Havard University and joined the risk management team at City Bank. He wants to calculate the DEAR of one of the bank's trading position. After applying the RiskMetric approach and assuming a 5-percent adverse market movement scenario, he calculates DEAR = $3,000. How should he interpret the number $3,000 in terms of the market risk of the trading position? Select one: a. The bank will lose $3,000 or more with a 5% probability. b. The bank will lose $3,000 or less with a 5% probability c. The bank will lose exactly $3,000 over the next day. d. The bank will lose at most $3,000 over the next day. e. The bank will lose at least S3,000 over the next day.
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Answer is option B DEAR or Daily Earnings At Risk is de... View the full answer
Related Book For
Fraud examination
ISBN: 978-0538470841
4th edition
Authors: Steve Albrecht, Chad Albrecht, Conan Albrecht, Mark zimbelma
Posted Date:
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