Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Which of the following is correct? Choose all that are correct. Under the historical simulation approach, a short dataset leads to more precise estimation of

Which of the following is correct? Choose all that are correct.

Under the historical simulation approach, a short dataset leads to more precise estimation of VaR.

Historical simulation does not need any assumption about the distribution of the risk factors.

The historical simulation method easily accommodates market structure changes such as the introduction of a new currency.

Including market crash data in the historical simulation process may distort VaR estimates.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Corporate Finance Investment And Advisory Applications

Authors: Jesse McDougall, Patrick Boyle

1st Edition

1530116597, 9781530116591

More Books

Students also viewed these Finance questions