Select the weaknesses of VaR. Doesn't satisfy the monotonicity condition Doesn't satisfy the translation invariance condition Doesn't satisfy the subadditivity condition Doesn't satisfy the homogeneity condition Tends to under-estimate extreme losses Recognizes concentration of risks

Select the weaknesses of VaR. Doesn't satisfy the monotonicity condition Doesn't satisfy the translation invariance condition Doesn't satisfy the subadditivity condition Doesn't satisfy the homogeneity condition Tends to under-estimate extreme losses Recognizes concentration of risks

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Question

Select the weaknesses of VaR.

Doesn't satisfy the monotonicity condition

Doesn't satisfy the translation invariance condition

Doesn't satisfy the subadditivity condition

Doesn't satisfy the homogeneity condition

Tends to under-estimate extreme losses

Recognizes concentration of risks

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