When using the RiskMetrics model, price volatility is calculated as
A)the price sensitivity times an adverse daily yield move.
B)the dollar value of a position times the price volatility.
C)the dollar value of a position times the potential adverse yield move.
D)the price volatility times the √N.
E)None of the options.

Question

Quizplus · Accepted Answer

According to the RiskMetrics model, price volatility is calculated as the price sensitivity (measured by delta) times an adverse daily yield move.

When Using the RiskMetrics Model, Price Volatility Is Calculated as