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University Of Memphis Operations And Supply Chain Management Assignment Help - The correlation


Question - Bond Yield Maturity in Years Standard Deviation of the Yield-Annual Exposure
A 5% 2 5% USD 25.00
B 3% 13 12% USD 75.00
The correlation between the two returns is 0.25. From a risk management perspective. W hat is the
gain from diversification for a VaR estimated at the 95% level for the next 10 days? Assume there are
250 trading days in a year.
a. 76.500
b. 283.000
c. 382.300
d. 1.413.000

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