CFA Practice Question

There are 119 practice questions for this study session.

CFA Practice Question

The parametric method provides a poor estimation of VaR when the portfolio ______
A. contains options.
B. is highly volatile.
C. matches closely to the whole equity market.
Explanation: The parametric method exploits the simplicity of the normal distribution but provides a poor estimate of VaR when returns are not normally distributed (as might occur when a portfolio contains options).

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