​The Maximum One-Day Loss Computed for the Value-At-Risk (VaR) Method

question 35

Multiple Choice

​The maximum one-day loss computed for the value-at-risk (VaR) method does not depend on:

• A) ​the expected percentage change in the currency for the next day.
• B) ​the standard deviation of the daily percentage changes in the currency over a previous period.
• C) ​the current level of interest rates.
• D) ​the confidence level used.

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