IIA
IIA-CFSA · Question #252
IIA-CFSA Question #252: Real Exam Question with Answer & Explanation
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Question
Known limitations of VaR methodology include the fact that changes in market may not tend to normal distribution (specifically, that very large movements are more likely than predicated by the normal distribution assumption); BECAUSE:
Options
- ACorrelation between market movement can vary (especially during periods of stress in the
- BThe changes in present values are not perfectly linearly related to changes market rates.
- CThe use of one day horizon does not fully capture the market risk of positions that cannot be
- DAll of these
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