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Busıness Fınance Iı Deneme Sınavı Sorusu #1036796
Which risk measurement approach is based on the idea of simulating the changes in the portfolio value by randomly drawing from the imposed theoretical distribution function?
Variance-Covariance Method |
Monte Carlo Simulation |
Exponentially Weighted Moving Average Procedure |
Extreme Value Theory (EVT) |
Historical Simulation Method |
Yanıt Açıklaması:
The Monte Carlo (MC) approach is based on the idea of simulating the changes in the portfolio value by randomly drawing from the imposed theoretical distribution function. The power of the MC simulation lies in its capability to provide approximate solutions applied to problems where no explicit probabilistic content is available. The correct answer is B.
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