True/False
One benefit of the historic or back simulation approach is that it does not need calculation of standard deviations and correlations (or assume normal distributions for asset returns) to calculate the portfolio risk figures.
Correct Answer:
Verified
Correct Answer:
Verified
Q42: The general market risk charges reflect the
Q43: Which of the following statements is true?<br>A)In
Q44: ...tells us the average of the losses
Q45: Which of the following statements is true?<br>A)Daily
Q46: Assume the market value of a position
Q48: Which of the following statements is true?<br>A)Daily
Q49: Reasons why market risk measurement is important
Q50: Consider a VAR of $100 000 for
Q51: Assume an FI holds three different positions.The
Q52: RiskMetrics weights more recent observations more highly