Ques32:

Which of the following items is/are NOT considered to be an advantage of using back simulation over the RiskMetrics approach in developing market risk models?

Select one or more:

A. Asset returns do not need to be normally distributed.

B. The correlation matrix does not need to be calculated.

C. Back simulation does not involve the calculation of a worst-case scenario value.

D. Back simulation creates a higher degree of confidence in the estimates.