Known limitations of VaR methodology include the fact that changes in market may not tend to normal distribution (specifically, that very large movements are more likely than predicated by the normal distribution assumption); BECAUSE:

Question

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VaR methodology assumes normal distribution of market changes, but real market movements can be more extreme. All options (A, B, C) highlight limitations of VaR, such as varying correlations, non-linear relationships, and inadequate risk capture over short horizons.

Known Limitations of VaR Methodology Include the Fact That Changes