题目
Which of the following statement（ ） about VaR is TRUE? I Value at risk is useful for examining a firm's day-to-day market risk exposure, but it may not accurately reflect the effects of a once-a-year event. II Value at risk relies on the assumption that historical data will serve as a predictor of the future. III Value at risk assumes a static portfolio, and may not be able to capture all trading activities.
选项
A.I only
B.II only
C.III only
D.I, II and III
答案
D
解析
VaR measurement procedures assume that market volatility and correlations will remain stable. As such, VaR is more effective in measuring short-term risk than longer-term risks and may not capture the risk of all trading activities, particularly those associated with nonlinear products.VaR评估程序假设市场波动性和相关性将保持稳定。 因此，VaR在衡量短期风险方面比长期风险更为有效，并且可能无法捕获所有交易活动的风险，尤其是与非线性产品相关的交易活动