## Solution Library

# Calculation Of BankÃ¢â‚¬â„¢s Trading Portfolio And DEARs

**Question**

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.

1. What is the total DEAR of Sumitomo’s trading portfolio if the correlation among assets is assumed to be 0.0?

a. –$100,000.

b. –$291,548.

c. –$350,000.

d. –$380,789.

e. –$400,000.

2. What is the total DEAR of Sumitomo’s trading portfolio if the correlation among assets is assumed to be –1.0?

a. –$100,000.

b. –$291,548.

c. –$350,000.

d. –$380,789.

e. –$400,000.

3. 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.

e. –$1,264,911.

**Summary**

These short questions belong to Finance and it is about calculation DEARs of bank’s trading portfolio including correlation.

**Total Word Count 63**

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