A Disadvantage of the Historic or Back Simulation Model for Quantifying

Multiple Choice

A disadvantage of the historic or back simulation model for quantifying market risk includes

A) calculation of a standard deviation of returns is not required.
B) calculation of the correlation between asset returns is not required.
C) estimates of past returns used in the model may not be relevant to the current market returns.
D) it accounts for non-standard return distributions.
E) None of the above.