9. The scenario analysis that Hamilton prepares for the committee is a valuable tool to supplement VaR

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9. The scenario analysis that Hamilton prepares for the committee is a valuable tool to supplement VaR because it:

A. incorporates historical data to evaluate the risk in the tail of the VaR distribution.

B. enables Hamilton to isolate the risk stemming from a single risk factor—the ratings downgrade.

C. allows the committee to assess the effect of low liquidity in the event of a ratings downgrade.

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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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9. The scenario analysis that Hamilton prepares for the committee is a valuable tool to supplement VaR

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Quantitative Investment Analysis

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