CFA Practice Question

There are 119 practice questions for this study session.

CFA Practice Question

Which statement is correct?
A. Normality is an absolute requirement for the parametric method to estimate VaR.
B. A 5% Monte Carlo VaR is the fifth percentile of the historical values.
C. VaR can be used as an ex ante and ex post measure.
Explanation: A is false. Normality is just a general assumption. Other distributions could be accommodated by incorporating skewness and kurtosis. B is false; "simulated values" should replace"historical values" in this statement.

C is correct. VaR can be used as a performance measure.

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