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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