Historical simulation method for calculating var

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Reference no: EM132036963

1. The VaR will NOT provide a warning for

A loss likely to be incurred by the portfolio due to market risk

All of the answers are correct

A mismatch in the timing of cash inflows and outflows

Overall riskiness of a bank’s asset pool due to changes in the level of exposure

2. Which of the following is true of the historical simulation method for calculating VaR?

a. It fits historical data on the behavior of variables to a lognormal distribution

b. It assumes that what will happen in the future is a random sample from what has happened in the past

c. It uses Monte Carlo simulation to create random future scenarios

d. It fits historical data on the behavior of variables to a normal distribution

Reference no: EM132036963

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