Which of the Following Statements Is Incorrect

question 19

Multiple Choice

Which of the following statements is incorrect?

• A)The validity of a bank's estimated VAR is assessed with backtests in which the actual daily trading gains or losses are compared to the estimated VAR over a particular period.
• B)Some banks supplement the VAR estimate with stress tests.
• C)In general, the VAR model does not lend itself to determine capital requirements.
• D)All of the statements above are correct.

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Definitions:

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The practice of conveying messages in a transparent, honest, and respectful manner, taking into consideration ethical implications and outcomes.

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