Which of the following statements is true?
A)There are no major flaws associated with VAR models like RiskMetrics.
B)One problem associated with VAR models such as RiskMetrics is the assumption of a normal distribution, that is, a skew of 1.
C)One problem associated with VAR models such as RiskMetrics is that these models ignore the risk in the payments of accrued interest on an FI's debt securities.
D)None of the listed options are correct.

Question

Quizplus · Accepted Answer

The Answer of Which of the following statements is true?
A)There are no major flaws associated with VAR models like RiskMetrics.
B)One problem associated with VAR models such as RiskMetrics is the assumption of a normal distribution, that is, a skew of 1.
C)One problem associated with VAR models such as RiskMetrics is that these models ignore the risk in the payments of accrued interest on an FI's debt securities.
D)None of the listed options are correct.

Which of the Following Statements Is True