Which of the Following Items Is Not Considered to Be

Multiple Choice

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.