The VaR at a 95% confidence level is estimated to be 1.56 from a historical simulation...
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The VaR at a 95% confidence level is estimated to be 1.56 from a historical simulation of 1,000 observations. Which of the following statements is most likely true? O The parametric assumption of normal returns is correct O The historical distribution has thinner tails than a normal distribution O The historical distribution has fatter tails than a normal distribution The parametric assumption of lognormal returns is correct The VaR at a 95% confidence level is estimated to be 1.56 from a historical simulation of 1,000 observations. Which of the following statements is most likely true? O The parametric assumption of normal returns is correct O The historical distribution has thinner tails than a normal distribution O The historical distribution has fatter tails than a normal distribution The parametric assumption of lognormal returns is correct
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Related Book For
Auditing and Assurance Services A Systematic Approach
ISBN: 978-1259162343
9th edition
Authors: William Messier, Steven Glover, Douglas Prawitt
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