medium · FRM Part 2 Market Risk
A risk manager uses Volatility-Weighted Historical Simulation (Hull-White) to estimate VaR. The current volatility is 2.0%, and the volatility on a historical day 45 days ago was 1.2%.
If the raw return on that day was -1.5%, what is the adjusted return used for the VaR calculation?
- -0.90%
- -1.50%
- -4.17%
- -2.50%
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