2. Historical simulation Value at Risk (VaR) relies upon the use of historical asset price,

interest rate, foreign exchange rates, commodity prices together with a host of other

parameters to calculate the VaR. Select the correct statement below:

A. The accuracy of Historic VaR is based upon the assumption that the historic return

distribution will be representative of the return distribution one can expect to see

for the portfolio at hand and the conditions currently prevailing in the financial

markets.

B. Historic Simulation VaR is always an appropriate measure of risk for both linear

and non-linear financial instruments.

C. Historical Simulation VaR requires a significant amount of data and computational

power to produce accurate results.

D. All of the above.

E. A and C.