hard · FRM Part 2 Liquidity & Treasury Risk
A bank calculates its 95% monthly VaR to be $2.10 m for a corporate bond position.
If the spread has a mean of 60 bps and a volatility of 35 bps, what is the Liquidity-adjusted VaR (LVaR) using a 3-sigma spread stress multiplier for a $50 m position?
- $2.9250 m
- $2.1825 m
- $1.6875 m
- $2.5125 m
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