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Back testing in the context of Value at Risk involves testing: A) how much the company has lost in the past. B) how well the
Back testing in the context of Value at Risk involves testing:" A) how much the company has lost in the past. B) how well the VaR estimate would have performed in the past. C) how a portfolio would have performed under extreme market conditions. D) how a portfolio would have performed after seasonal adjustments
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Mastering 21st Century Enterprise Risk Management
Authors: Gregory M Carroll
1st Edition
1483510441, 9781483510446
