hard · Frm Part 2 Market Risk
An institutional desk uses Hull-White volatility-weighted historical simulation. Yesterday's volatility was forecast at 1.10% and the realized return was -2.42%.
If the current volatility forecast is 2.75%, what adjusted return enters the dataset for that historical date?
- -4.12%
- -6.05%
- -0.968%
- -2.42%
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