10-57 Which of the Following Items Is Not Considered to Be

question 41

Multiple Choice

10-57 Which of the following items is not considered to be an advantage of using back simulation over the RiskMetrics approach in developing market risk models?

• A)Back simulation is less complex.
• B)Back simulation creates a higher degree of confidence in the estimates.
• C)Asset returns do not need to be normally distributed.
• D)The correlation matrix does not need to be calculated.
• E)A worst-case scenario value is determined by back simulation.

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Definitions:

Conscientious

Referring to a trait of being thorough, careful, or vigilant; implies a desire to do a task well.

Critical Thinking

involves the objective analysis and evaluation of an issue in order to form a judgment.

Defensible

Defensible refers to something that can be supported or maintained with evidence, making it justifiable in the face of scrutiny or challenge.

Scientific Reasoning

Refers to the methodological approach of using empirical data, observations, and experiments to form hypotheses and conclusions.