Value-at-risk is subject to a number of limitations including:
A) it does not deal well with event and stability risks
B) it is complex
C) it does not deal well with illiquid and unpriced securities
D) it does not deal well with event and stability risks and it does not deal well with illiquid and unpriced securities
Correct Answer:
Verified
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
Q21: The main advantages of value-at-risk include:
A) it
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
Q27: Foreign exchange transaction exposure arises:
A) if receivables
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