Which of the following statements regarding the Historical Simulation Method of Value-at-Risk is correct?

Select one:

a. Historical simulation generally requires making assumptions about the probability distributions of risk variables and their correlation.

b. Historical simulation will always give a smaller estimate of Value-at-Risk than other methods because it does not take into account extreme events.

c. Historical simulation generally does not require the specification of a dependence structure between risk variables.

d. Historical simulation requires the setting of operating scenarios by senior management.

e. None of the other options are correct.