Stress testing is not necessary because the same results are obtained by a VAR model with an

Question:

"Stress testing is not necessary because the same results are obtained by a VAR model with an increasing confidence level." Comment.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

See More Books

Question Posted: May 03, 2016 02:21 AM

See More Questions

Options may not provide funding for non-financial firms, but they are central to modern finance. Not only are millions traded daily, the valuation framework yields insight into corporate decisions...
Why should VAR measures be supplemented by portfolio stress testing?
The following independent scenarios describe auditor decisions made during an audit engagement. 1. Chen Li worked on the audit of American Healthcare Associations (AHA), which operates hospitals and...
From our discussions of recent criticisms of research into cultural differences: Can we safely assume the existence of single national cultures? Is the influence of culture as an explanatory...
Environ Company has determined that its new fireplace screen would gain widespread customer acceptance if the company could price it at or under $90. Anticipated labor hours and costs for each unit...
What is the term used to refer to the application of the scientific method to evaluate alternative treatment methods and create guidelines for similar clinical situations? LO9-3
5. Visit the home page for the Project Management Institute. Find the Ethics in Project Management page. Explore the ethics resources. Review and summarize the PMI Code of Ethics and Professional...
Tharp Company operates a small factory in which it manufactures two products: C and D. Production and sales results for last year were as follows. For purposes of simplicity, the firm averages total...
. S2, 2016 Final Exam - QUESTION 5: PRODUCT MIX DECISIONS O'Connor Company produces two models of machine housings that require the use of a special lathe (machine). The six lathes owned by the firm...
Sketch vo for each network of Fig. 2.177 for the input shown. Would it be a good approximation to consider the diode to be ideal for both configurations? Why? 120 V Si Si E - 20V
How is stress testing different from backtesting when evaluating risk models?
What is the major difficulty in generating hypothetical stress tests across large portfolios?
Simulate the process in Eqs. (13.3) and (13.4) in the vicinity of the point at (X,0) and try to use as an early warning signal the logarithmic time dependence considered in Eq. (1) of [243]. Equation...
do you agree wih this approach to dismantling the toxic culture? explain
Movies When randomly selecting a speaking character in a movie, the probability of getting a female is 0.331 (based on data from "Inequality in 1200 Popular Films," by Smith, et al., Annenberg...
Steve Reese is a well-known interior designer in Fort Worth, Texas. He wants to start his own business and convinces Rob O'Donnell, a local merchant, to contribute the capital to form a partnership....
Exercise 6-10A (Algo) Double-declining-balance and units-of-production depreciation: gain or loss on disposal LO 6-3, 6-4, 6-5 Exact Photo Service purchased a new color printer at the beginning of...
Independent Events Again assume that when randomly selecting a speaking character in a movie, the probability of getting a female is 0.331, as in Exercise 1. If we want to find the probability of 20...
State the main functions of venules and veins. What forces work together in returning venous blood to the heart?
Graph one period of each function. y = 4 cos x
Consider the following situation. Year Cash Flow 0................................-$200 1.................................+400 2..................................-100 What is the rate of return?
An investor is considering two mutually exclusive projects. He can obtain a 6% before-tax rate of return on external investments, but he requires a minimum attractive rate of return of7% for these...
In January, 2003, an investor purchased a convertible debenture bond issued by the XLA Corporation. The bond cost $1000 and paid $60 per year interest in annual payments on December 31. Under the...
Compute the value of ordinary bonds under the following circumstances assuming that the coupon rate is 0.06:(either the correct formula(s) or the correct key strokes must be shown here to receive...
A tax-exempt municipal bond has a yield to maturity of 3.92%. An investor, who has a marginal tax rate of 40.00%, would prefer and an otherwise identical taxable corporate bond if it had a yield to...
Please note, kindly no handwriting. Q. Suppose a 3 year bond with a 6% coupon rate that was purchased for $760 and had a promised yield of 8%. Suppose that interest rates increased and the price of...

Stress testing is not necessary because the same results are obtained by a VAR model with an

Question:

Step by Step Answer:

This is not necessarily true because stress testing ...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

Students also viewed these Finance questions