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What is the one-day VaR of a $50M portfolio with a daily standard deviation of 2% at a 95% confidence level? What is the annualized
- What is the one-day VaR of a $50M portfolio with a daily standard deviation of 2% at a 95% confidence level? What is the annualized VaR?
- What do you know about extreme value theory?
- What is Expected Shortfall? How is it calculated? Why is it considered better than VaR? What are the disadvantages?
- What are the strengths and weaknesses of historical simulation, Monte-Carlo simulation, & Variance-Covariance method VaR calculation?
- What is expected shortfall?
- What is incremental default risk?
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Handbook On Anti Money Laundering And Combating The Financing Of Terrorism For Nonbank Financial Institutions
Authors: Asian Development Bank
1st Edition
9292577611, 978-9292577612
