Historical Simulation as a Method of Computing VaR Has the Following

question 18

Multiple Choice

Historical simulation as a method of computing VaR has the following major benefit in comparison to the delta-normal method:

• A) It is a faster approach.
• B) It uses past returns to forecast future returns.
• C) It requires the same number of parameters as the delta-normal method.
• D) It does not assume normality of the P&L return distribution.