题目 The standard VaR calculation for extension to multiple periods assumes that returns are serially uncorrelated. If prices display trends, the true VaR will be: 选项 A.The same as the standard [...]
题目 Given the following 30 ordered simulated percentage returns of an asset, calculate the VaR and expected shortfall (both expressed in terms of returns) at a 90% confidence level.-16, -14, -10, [...]
题目 Which statement best describes correlations and variances in times of financial crisis? 选项 A.There are only marginal changes in correlations and variances in times of crisis, and therefore [...]
