13. The number of Flusks VaR breaches most likely resulted from: A. using a standard normal distribution

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13. The number of Flusk’s VaR breaches most likely resulted from:

A. using a standard normal distribution in the VaR model.

B. using a 95 percent confidence interval instead of a 99 percent confidence interval.

C. lower market volatility during the last year compared with the lookback period.

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Quantitative Investment Analysis

ISBN: 9781119743620

4th Edition

Authors: CFA Institute

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Question Posted: Oct 28, 2024 03:02 AM

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13. The number of Flusks VaR breaches most likely resulted from: A. using a standard normal distribution

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Quantitative Investment Analysis

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