An advantage of the historic or back simulation model for quantifying market risk includes

Question

Quizplus · Accepted Answer

The historic or back simulation model does not require the calculation of a standard deviation of returns, which can be a time-consuming and complex task in other models. However, this model has limitations such as assuming the symmetric and normal distribution of returns and not providing information on the systematic risk of trading positions. Additionally, the model may not provide a high degree of confidence when using small sample sizes.

An Advantage of the Historic or Back Simulation Model for Quantifying