Limitation to VaR include I. Basic VaR calculations assume returns on portfolios are normally distributed
II) VaR is sensitive to the time period chosen
III) VaR does not specify the maximum possible loss
IV) VaR is not easy to understand

Question

Quizplus · Accepted Answer

VaR assumes normal distribution of returns, is sensitive to the time period, and does not specify the maximum possible loss. However, it is generally considered easy to understand.

Limitation to VaR Include I