The main advantages of value-at-risk include:
A) it facilitates the aggregation of a firm's exposures to market risk
B) it is very accurate
C) it may be expressed in a dollar value, which allows direct comparison with the firm's profitability and capital
D) it both facilitates the aggregation of a firm's exposures to market risk and it may be expressed in a . dollar value, which allows direct comparison with the firm's profitability and capital
Correct Answer:
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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
Q19: Parametric value-at-risk:
A) is fast and simple to
Q20: Based on the survey conduct in 1999
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
Q25: The volatility of the real exchange rate
Q26: Calculate the value of the exposure of
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