10-57 Which of the following items is not considered to be an advantage of using back simulation over the RiskMetrics approach in developing market risk models?
A) Back simulation is less complex.
B) Back simulation creates a higher degree of confidence in the estimates.
C) Asset returns do not need to be normally distributed.
D) The correlation matrix does not need to be calculated.
E) A worst-case scenario value is determined by back simulation.
Correct Answer:
Verified
Q53: 10-49 When using the JPM RiskMetrics
Q54: 10-52 Which of the following is a
Q55: 10-58 An advantage of the historic or
Q56: 10-45 A reason for the use of
Q57: 10-44 Using the MRM to identify the
Q59: 10-55 If an FIs trading portfolio of
Q60: 10-54 If a stock portfolio replicates the
Q61: 10-67 What is the 10-day VAR?
A)$5,000.
B)$10,000.
C)$15,811.
D)$22,361.
E)$50,000.
Q62: 10-65 Which approach,in effect,amounts to simulating or
Q63: 10-72 What is the modified duration of
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