Which of the following is true of the historical simulation method for calculating VaR?
A) It fits historical data on the behavior of variables to a normal distribution
B) It fits historical data on the behavior of variables to a lognormal distribution
C) It assumes that what will happen in the future is a random sample from what has happened in the past
D) It uses Monte Carlo simulation to create random future scenarios
Correct Answer:
Verified
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Q10: The 10-day VaR is often assumed to
Q11: Which of the following is true?
A) Cash
Q12: Which of the following describes stressed VaR?
A)
Q13: Consider a position in options on a
Q15: In the case of interest rate movements
Q16: An investor has $2,000 invested in stock
Q17: The gain from a project is equally
Q18: What is the method of testing how
Q19: Which of the following is true
A) Expected
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