Back simulation model for quantifying market risk includes

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Reference no: EM131962373

1. An advantage of the historic or back simulation model for quantifying market risk includes

calculation of a standard deviation of returns is not required.

all return distributions must be symmetric and normal.

the systematic risk of the trading positions is known.

there is a high degree of confidence when using small sample sizes.

None of the above.

2. The DEAR of a portfolio of assets is simply the weighted average of each individual assets' DEAR.

True

False

3. Assuming a discount rate of 10%, how much could you afford to pay now for $1,000 per year (payable at the end of each year, with the first payment a year from now) for (a) 5 years; (b) 10 years; (c) 20 years; (d) 30 years; (e) perpetuity (with Excel)?

Reference no: EM131962373

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