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Busıness Fınance Iı Deneme Sınavı Sorusu #1118672
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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