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Busıness Fınance Iı Deneme Sınavı Sorusu #1036768
Busıness Fınance Iı Deneme Sınavı Sorusu #1036768
Which risk measurement approach is defined as simulation approach that calculates the hypothetical change in the value of the current portfolio in the light of actual historical movements in risk factors?
Variance-Covariance Method |
Historical Simulation Method |
exponentially weighted moving average procedure |
Monte Carlo Simulation |
Extreme Value Theory (EVT) |
Yanıt Açıklaması:
The Basel Committee defines the historical simulation methodology as a simulation approach that calculates the hypothetical change in the value of the current portfolio in the light of actual historical movements in risk factors (Basel Committee on Banking Supervision, 1996b). The correct answer is B.
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