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An analyst at Bergman International Bank has been asked to explain the calulation of VAR for linear derivatives to the newly hired junior analysts. Which of the fallowing statements best describes the calculation of VAR for a linear derivative on the S&P 500 Index? A. For an options contract, multiply the VAR of the S&P 500 Index by a sensitivity factor reflecting the percent change in the value futures contract for a one percent change in the index value. B. For a futures contract, divide the VAR of the S&P 500 Index by a sensitivity factor reflecting the absolute change in the value futures contract per absolute change in the index value. C. For a options contract, divide the VAR of the S&P 500 Index by a sensitivity factor reflecting the percent change in the value futures contract for a one percent change in the index value. D. For a futures contract, multiply the VAR of the S&P 500 Index by a sensitivity factor reflecting the percent change in the value futures contract for a one percent change in the index value. |