The Back Simulation Approach to Estimating Market Risk Exposure Requires

question 91

True/False

The back simulation approach to estimating market risk exposure requires normally distributed asset returns, but does not require correlations of asset returns.

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Definitions:

Independent Variables

Variables in a statistical model that are manipulated or changed to observe their effect on dependent variables.

Coefficient of Determination

A measure used in statistical modeling that indicates how well data points fit a line or curve. It is represented as a value between 0 and 1.

Dependent Variable

A variable in statistical modeling whose value is influenced by other variables.

Independent Variable

The variable in an experiment that is manipulated or changed to explore its effects on the dependent variable.