10-59 a Disadvantage of the Historic or Back Simulation Model

question 59

Multiple Choice

10-59 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.
• E)None of the above.

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Definitions:

Openness

A trait or quality that involves being receptive to new ideas, experiences, and diverse perspectives, often considered crucial in creative and collaborative environments.

Commitment

A state or quality of being dedicated to a cause, activity, or goal, often demonstrated by persistent effort and determination.

Subsystem Adjustments

Modifications or changes made within a smaller part of an organization's system affecting its functioning or structure.

Chosen Path

The specific direction or course of action selected by an individual or organization to achieve desired outcomes.