10-12 Banks are limited by regulation to using the historic or back simulation method to quantify market risk exposure.

Question

Quizplus · Accepted Answer

Banks are not limited to using only the historic or back simulation method; they can use various methods like the Value at Risk (VaR) model, which includes historical simulation, variance-covariance, and Monte Carlo simulation, depending on regulatory requirements and internal risk management policies.

10-12 Banks Are Limited by Regulation to Using the Historic