Question
We use a normal distribution to calculate the VaR of our stock portfolio. If the actual return follows a distribution with a high degree of
We use a normal distribution to calculate the VaR of our stock portfolio. If the actual return follows a distribution with a high degree of kurtosis, what will be the issue with our VaR estimate?
| A. | The estimate of VaR will be skewed | |
| B. | The estimate of VaR will be too low | |
| C. | There is not enough information to answer this question | |
| D. | The estimate of VaR will be too high |
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Financial and Managerial Accounting
Authors: Carl S. Warren, James M. Reeve, Jonathan Duchac
13th edition
1285866304, 978-1285866307
