Parametric value-at-risk:
A) estimates value-at-risk by revaluing portfolios for each of a range of random scenarios
B) estimates value-at-risk by revaluing portfolios for each historical change in the market
C) is accurate for calculating the value-at-risk of assets with non-linear exposures to risk
D) estimates value-at-risk based on the mean and standard deviation measures for each asset
Correct Answer:
Verified
Q13: Distributions of financial returns are not normal
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
Q19: Parametric value-at-risk:
A) is fast and simple to
Q20: Based on the survey conduct in 1999
Q21: The main advantages of value-at-risk include:
A) it
Q22: Value-at-risk is subject to a number of
Q23: A 'long' exposure to foreign exchange risk
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents