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short questions PROBLEM #1 (15 points overall) A) Suppose two bankers provide you with VaR forecasts (which are different) and you can get data on

short questions

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PROBLEM #1 (15 points overall) A) Suppose two bankers provide you with VaR forecasts (which are different) and you can get data on the actual portfolio returns. How could you test for superiority? What is meant by better forecast in this situation? B) Compare and contrast 'historical simulation' with one other model for VaR. Describe in detail the assumptions required for each model, and which model you would recommend for use with equity returns

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