The Maximum One-Day Loss Computed for the Value-At-Risk (VAR) Method

Multiple Choice

The maximum one-day loss computed for the value-at-risk (VAR) method does not depend on:

A) the expected percentage change in the currency for the next day.
B) the standard deviation of the daily percentage changes in the currency over a previous period.
C) the current level of interest rates.
D) the confidence level used.