Which method of calculating VaR is the most complicated?
A) Historical approach
B) Variance-covariance approach
C) Monte Carlo simulation approach
D) Performance attribution approach

Question

Quizplus · Accepted Answer

Monte Carlo simulation approach is the most complicated because it involves simulating a large number of potential future market scenarios to estimate the distribution of potential losses, requiring significant computational resources and complex modeling.

Which Method of Calculating VaR Is the Most Complicated