VaR-Bases Risk Decomposition Is the Calculation That Allocates the Total

question 17

Multiple Choice

VaR-bases risk decomposition is the calculation that allocates the total VaR of a portfolio to each of its assets or subportfolios. Which of the following statements is most valid?

• A) Risk decomposition is based on the fact that VaR is linearly homogeneous in its constituents.
• B) Risk decomposition assumes that the assets in a portfolio are distributed multivariate normal.
• C) Risk decomposition depends on the sequence in which assets are added to an existing portfolio.
• D) Risk decomposition is not possible if Monte Carlo simulation is used to compute VaR.

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Abnormal Behavior

Patterns of emotion, thought, and action deemed pathological for one or more reasons, including discomfort, disability, or violation of societal norms.

Group Therapy

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