问题如下:
Based on Statement 1, IMA’s VaR estimation approach is best described as the:
选项:
A. parametric method.
B. historical simulation method
C. Monte Carlo simulation method.
解释:
A is correct. VaR is an estimate of the loss that is expected to be exceeded with a given level of probability over a specified time period. The parametric method typically assumes that the return distributions for the risk factors in the portfolio are normal. It then uses the expected return and standard deviation of return for each risk factor and correlations to estimate VaR.