Busıness Fınance Iı Deneme Sınavı Sorusu #1118672

Which risk measurement method is defined 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?


Monte Carlo Simulation

Extreme Value Theory

Historical Simulation Method

Variance-Covariance Method

 Risk-free Standard Deviation Method


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 C.

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