There are several different methods commonly used to compute

  There are several different methods commonly used to compute value at risk(VAR).Which of the following statements best describes historical VAR?
 
  It is:
 
  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.

FRM二级

自己先做~

做完之后滑这儿,就能对答案





 


 
A was correct!
 
This is the basic approach and assumption of historical VAR.

本文内容由FRM考试网(www.frm.com.cn)原创发布,未经许可不得随意转载或引用,违者必究。