10. A U.S. fund is invested Japanese go A. 10-year JPY interest rate B. I-year JPY 11. Which of the following methods are nonparametric in calculating VaR? A. Historical Simulation in 10-year Japanese government bonds. Which risk factors is this portfolio exposed to? interest rate C.JPY/USD exchange rate D. NIKI () B. Delta-Normal Approach C. Monte Carlo Simulation D. Extreme Value Theory 12. The daily VaR at 95% confidence level of an asset is $2012. We use the same data and method to calculate VaRs at other confidence levels. Which of the following might be correct? A. daily VaR at 93% confidence level is $2103 B. daily VaR at 97.5% confidence level is S2397 D. daily VaR at 99.5% confidence level is $3149 C. daily VaR at 99% confidence level is $2845