ACI
3I0-012 · Question #256
3I0-012 Question #256: Real Exam Question with Answer & Explanation
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Question
Which one of the following statements regarding the variance-covariance method for calculating value-at-risk is true?
Options
- AThe volatilities of the underlying assets are normally distributed and the prices remain constant.
- BThe risk factors are normally distributed and volatilities of risk factors and correlations between risk factors
- CThe prices of underlying assets are normally distributed, the volatilities of risk factors follow a GARCH
- DThe returns of underlying assets are normally distributed and volatilities of risk factors and correlations
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