Back-testing VaR is: (a) Not relevant. All of the underlying assumptions are correct and hold in reality.

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Back-testing VaR is:

(a) Not relevant. All of the underlying assumptions are correct and hold in reality. Similar assumptions are used in most financial models.

(b) Extremely important. There are many underlying assumptions, which may or may not hold in reality.

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Implementing Enterprise Risk Management Case Studies And Best Practices

ISBN: 9781118745762

2nd Edition

Authors: John Fraser, Betty Simkins, Kristina Narvaez

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Question Posted: Feb 03, 2024 11:57 PM

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Back-testing VaR is: (a) Not relevant. All of the underlying assumptions are correct and hold in reality.

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The answer to this is b Extremely important There are many underlying assumptions which may or ma...View the full answer

Implementing Enterprise Risk Management Case Studies And Best Practices

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