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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. |
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