Which of the following is a problem encountered while using more observations in the back simulation approach?
A)Past observations become decreasingly relevant in predicting VAR in the future.
B)Calculations become highly complex.
C)Need to assume a symmetric (normal) distribution for all asset returns.
D)Requirement for calculating the correlations of asset returns.
E)Calculations become highly complex; need to assume a symmetric (normal) distribution for all asset returns.

Question

Quizplus · Accepted Answer

Using more past observations in back simulation can make them less relevant for future predictions due to changes in market conditions over time.

Which of the Following Is a Problem Encountered While Using