Parametric value-at-risk:
A) is fast and simple to calculate
B) is accurate for linear and non-linear exposures
C) requires more computing power than either the Monte Carlo or historical methods
D) requires more data than the historical method
Correct Answer:
Verified
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
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
Q24: A 'short' exposure to foreign exchange risk
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