There are several different methods commonly used to compute value at risk(VAR).Which of the following statements best describes historical VAR?
a method that computes VAR by assuming that losses in the future will occur with the same
A)frequency and magnitude as they have in the past.
B)an analysis that looks for trends in VAR from period to period to predict future VAR.
C)an analysis used by regulators that compares current market risks to historical market risks.
D)an analysis used by investors that compares current market risks to historical market risks.
A was correct!
This is the basic approach and assumption of historical VAR.