Consider the following four statements about value at risk (VaR): The choice of VaR confidence interval and time horizon should be uniform across users. There is not much uniformity of practice as to confidence interval and time horizon; as a result, intuition on what constitutes a large or small VaR is underdeveloped. There are a number of computational and modeling decisions that can greatly influence VaR results, such as the length of time series used for historical simulation or to estimate moments; and the technique used for estimating moments. There are a number of computational and modeling decisions that can greatly influence VaR results, such as mapping techniques and the choice of risk factors. Which of the above statements is/are true?
Consider the following four statements about value at risk (VaR): The choice of VaR confidence interval and time horizon should be uniform across users. There is not much uniformity of practice as to confidence interval and time horizon; as a result, intuition on what constitutes a large or small VaR is underdeveloped. There are a number of computational and modeling decisions that can greatly influence VaR results, such as the length of time series used for historical simulation or to estimate moments; and the technique used for estimating moments. There are a number of computational and modeling decisions that can greatly influence VaR results, such as mapping techniques and the choice of risk factors. Which of the above statements is/are true?
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 5QTD
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- Consider the following four statements about value at risk (VaR):
- The choice of VaR confidence interval and time horizon should be uniform across users.
- There is not much uniformity of practice as to confidence interval and time horizon; as a result, intuition on what constitutes a large or small VaR is underdeveloped.
- There are a number of computational and modeling decisions that can greatly influence VaR results, such as the length of time series used for historical simulation or to estimate moments; and the technique used for estimating moments.
- There are a number of computational and modeling decisions that can greatly influence VaR results, such as mapping techniques and the choice of risk factors.
Which of the above statements is/are true?
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