Question
Which ONE of the following statements is FALSE regarding mapping a portfolio of cash-flows for Value-at-Risk (VaR) measurement? a.Present values of cash flows remain unchanged
Which ONE of the following statements is FALSE regarding mapping a portfolio of cash-flows for Value-at-Risk (VaR) measurement?
a.Present values of cash flows remain unchanged after mapping to the market risk factors
b.Actual (i.e. non-discounted) values of cash flows remain unchanged by mapping to the market risk factors
c.The normal VaR of the portfolio is the same before and after the mapping
d.The typical market risk factors are interest rates at some fixed set of vertices
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Handbook Of Safeguarding Global Financial Stability Political Social Cultural And Economic Theories And Models
Authors: Gerard Caprio
1st Edition
0123978750, 0123978785, 9780123978752, 9780123978783
