Which assumption underlying VaR is the most important yet most questionable? (a) Distributional (b) Nonnegativity (c) Random
Question:
Which assumption underlying VaR is the most important yet most questionable?
(a) Distributional
(b) Nonnegativity
(c) Random walk
(d) Stationarity
(e) Time consistency
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Answer rating: 50% (2 reviews)
Value at Risk VaR is a statistical measure that quantifies the level of financial risk within a firm portfolio or position over a specific timeframe A...View the full answer
Answered By
PALASH JHANWAR
I am a Chartered Accountant with AIR 45 in CA - IPCC. I am a Merit Holder ( B.Com ). The following is my educational details.
PLEASE ACCESS MY RESUME FROM THE FOLLOWING LINK: https://drive.google.com/file/d/1hYR1uch-ff6MRC_cDB07K6VqY9kQ3SFL/view?usp=sharing
3.80+
3+ Reviews
10+ Question Solved
Related Book For
Implementing Enterprise Risk Management Case Studies And Best Practices
ISBN: 9781118745762
2nd Edition
Authors: John Fraser, Betty Simkins, Kristina Narvaez
Question Posted:
Students also viewed these Business questions
-
(i) Write down the linear program relaxation for the vertex cover problem and solve the linear program. [6 marks] (ii) Based on the solution of the linear program in (b)(i), derive an integer...
-
Read the following article and answer the questions below: Building Competitive Advantage Through People Magazine: Winter 2002Research Feature January 15, 2002 Reading Time: 23 min Christopher A....
-
ttth Suppose that the sequence of bags {Bn | n N} is recursively enumerated by the computable function e(n, x) = fn(x), [7 marks] Hence prove that the set of all recursive bags cannot be recursively...
-
As manager of a local pizza parlor, you want to develop a balanced scorecard so you can more effectively monitor the restaurants performance. Required a. Propose at least two goals for each...
-
The intensity on the screen at a certain point in a double slit interference pattern is 64.0% of the maximum value. (a) What minimum phase difference (in radians) between sources produces this...
-
Meyersons Bakery is considering the addition of a new line of pies to its product offerings. It is expected that each pie will sell for $10 and the variable costs per pie will be $3. Total fixed...
-
1. Which valuation methodologyscenario-based DCF analysis or multiples analysisis preferable in valuing high-growth firms? Why?
-
If i = 6%, compute the value of D that is equivalent to the two disbursements shown. 200 100
-
Your company is considering the purchase of a fleet of cars for $195,000. It can borrow at 12%. The cars will be used for four years. At the end of four years they will be worthless. You call a...
-
Naboni was established in 1996 by Mr. Nicholas Menyani following a decision by the government of Zambia to liberalize the Zambian economy. Prior to 1991, the Zambian economy had been dominated by...
-
You may have noticed that VaR is reported as a positive number. What would a negative VaR suggest? (a) VaR is undefined. (b) Losses could be really, really bad. (c) There is a high likelihood of...
-
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...
-
Suppose there are three curtains. Behind one curtain there is a nice prize, while behind the other two there are worthless prizes. A contestant selects one curtain at random, and then Monte Hall...
-
Nequired information Exercise 5-17 (Static) Notes receivable-interest accrual and collection LO 5-6 (The following information applies to the questions displayed below) Agrico Incorporated accepted...
-
Case 14-3 Sarin Pharmaceuticals Ltd. Alan Mannik, director of procurement for the Sarin Phar- maceuticals Ltd. (Sarin) Animal Health Division plant in Vancouver, British Columbia, was planning for...
-
CL727 LEGAL ANALYSIS AND WRITING Module 11 Assignment: Brief Answer, Analysis, and Conclusion This assignment will be due in Module 11. Your assignment is to write the Brief Answer, Analysis, and...
-
Question 11 (0.5 points) l) Listen } As a drug manufacturer, you expect your latest wonder drug to lower cholesterol. It has been successful with a limited group of participants so far, so you have...
-
Redfern Audio produces audio equipment including headphones. At the Campus Facility, it produces two wireless models, Standard and Enhanced, which differ both in the materials and components used and...
-
Consider the unity feedback system shown in Figure E4.14. The system has two parameters, the controller gain K and the constant K1 in the process. (a) Calculate the sensitivity of the closed-loop...
-
A heat engine has a heat input of 3 Ã 104 Btu/h and a thermal efficiency of 40 percent. Calculate the power it will produce, in hp. Source 3 x 10 Btu/h 40% HE Sink
-
What is an index fund? How is it created?
-
What are the two NAVs of a closedend mutual fund? Are they usually the same?
-
How is the NAV of an openend mutual fund calculated? When is it calculated?
-
Show that the convexity for a zero coupon bond with m payments per year is (m) n(n + -)(1+ m m
-
Abdul Canarte , a Central Bank economist, noticed that the total group purchasing basket of goods (CPI) has gone from $149,740.00 to $344,460.00 in 8 years. With monthly compounding, what is the...
-
ABC Corporation expects sales next year to be $50,000,000. Inventory and accounts receivable (combined) will increase $8,000,000 to accommodate this sales level. The company has a profit margin of 6...
Study smarter with the SolutionInn App