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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