ahem...
Which of the following factors is the common weakness in historical and Monte Carlo Simulation approach to VAR estimation?
A- Both assume that historical variance-covariance matrix is stable.
B- A lot of data is needed for time period of interest.
C- For some assets you may face model risk.
It is 7:46 PM CT (T-minus 22 days).. I have a point to make after this one that some may or may not care about but I will post the answer in a couple of hours with rational and explanation. Lets go! |