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AIM 6: Describe the method of mapping forwards, commodity forwards, forward rate agreements, and interest-rate swaps.


1、Which of the following develops more precise estimates of VAR?

A) The beta model.
 
B) A diagonal matrix.
 
C) A full covariance matrix.
 
D) The component VAR.

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The correct answer is C


Using a full covariance matrix will result in more precise estimates of VAR.

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