Distributions of financial returns are not normal because they:
A) have fat tails and tend to be skewed to the left
B) have a constant variance
C) have a zero mean
D) are abnormally large
Correct Answer:
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Q8: Calculate the variance of the expected percentage
Q9: Calculate the volatility of the USD/AUD over
Q10: Calculate the mean absolute deviation of the
Q11: 'Value-at-risk' refers to:
A) foreign exchange exposure
B) the
Q12: The main problem with the parametric approach
Q14: The benefits offered by the value-at-risk methodology
Q15: Value-at-risk:
A)summarises the expected worst-case loss of a
Q16: The mean return on the AUD/USD is
Q17: The mean return on the AUD/USD is
Q18: Parametric value-at-risk:
A) estimates value-at-risk by revaluing portfolios
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