VaR Fails the Following Requirement of a "Coherent" Risk Measure

question 32

Multiple Choice

VaR fails the following requirement of a "coherent" risk measure:

• A)Linear homogeneity.
• B)Monotonicity.
• C)Subadditivity.
• D)Translation invariance.

Distinguish between various forecasting models and their applications based on the characteristics of the time series.

Calculate forecasts using autoregressive models and interpret the results.

Analyze the adequacy of forecasting models using MAD and other statistical measures.

Understand the impact of smoothing constants in forecasting accuracy.

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Definitions:

Standard Rate (SR)

Standard Rate (SR) refers to a predefined or established cost or value used in financial and operational calculations, often applied in budgeting and cost accounting.

Actual Hours (AH)

The real number of hours worked or required to complete a specific task or project, as opposed to estimated or planned hours.

Standard Hours (SH)

Standard Hours (SH) refer to the estimated time considered necessary to perform a task or produce a good under normal conditions, used for planning and efficiency analysis.

Materials Price Variance

The difference between the actual cost of materials used in production and the standard cost of those materials.