Suppose That You Calculate VaR from Duration

question 7

Essay

Suppose that you calculate VaR from Duration. In your many results you ?nd that:
i. using historical data (of whatever length) or a normal distribution does not a?ect the result; 11
ii. you ?nd that kurtosis between historical data and the normal distri- bution is almost identical;
iii. You ?nd the expected change in the portfolio ?P = 0, with very small standard errors. Given the above, can you say that this Duration based VaR is an appro- priate approach to measure risk?

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