A Disadvantage of the Historic or Back Simulation Model for Quantifying

question 75

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.

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Definitions:

Declarative Memory

A type of long-term memory that involves the conscious recall of facts and events.

Semantic Memory

A type of long-term memory that involves the recall of general facts, meanings, concepts, and knowledge about the external world.

Eyewitness Memory

The recall of individuals about events they have observed and can involve significant inaccuracies.

Short-term Memory

The part of the memory system where information is stored for a short duration, typically around 20 to 30 seconds.