题目
Which of the following is a disadvantage of the historical simulation method over the Risk Metrics model? The historical method requires: I. A worst-case scenario as an input. II. The future is determined by the past. III. Standard deviations and correlations. IV. The assumption of normal distributions for asset returns.
选项
A.I and III only
B.II only
C.II and IV only
D.III only
答案
B
解析
The historical method requires that the future be determined by past asset price movements.历史方法要求未来取决于过去的资产价格走势。