A Disadvantage of the Historic or Back Simulation Model for Quantifying

question 52

Multiple Choice

A disadvantage of the historic or back simulation model for quantifying market risk includes

• A)calculation of a standard deviation of returns is not required.
• B)calculation of the correlation between asset returns is not required.
• C)estimates of past returns used in the model may not be relevant to the current market returns.
• D)it accounts for non-standard return distributions.
• E)None of these.

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Definitions:

Gomphosis

Fibrous joint in which a peglike process fits into a hole.

Symphysis

A type of cartilaginous joint where bones are fused together by fibrocartilage, providing strength with limited movement.

Fibrocartilage

A tough type of cartilage found at the intersections of tendons, ligaments, and bones, providing strength and flexibility.

Cartilaginous Joints

Types of joints where the bones are joined by cartilage, allowing for limited movement.