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Category > Applied Sciences Posted 14 May 2017 My Price 5.00

VAR measures should be supplemented by portfolio stress-testing

 

VAR measures should be supplemented by portfolio stress-testing becausea) VAR measures indicate that the minimum loss will be the VAR; they don’t indicate how large the losses can be.b) Stress-testing provides a precise maximum loss level.c) VAR measures are correct only 95% of the time.d) Stress-testing scenarios incorporate reasonably probable events.

Under usually accepted rules of market behavior, the relationship between parametric delta-normal VAR and historical VAR will tend to be:a) Parametric VAR will be higher.b) Parametric VAR will be lower.c) It depends on the correlations.d) None of the above are correct.
 
 

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Alpha Geek
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Status NEW Posted 14 May 2017 12:05 PM My Price 5.00

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file 1494766100-Answer.docx preview (112 words )
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