schweser question interest, question, matrix, following

bchadwick

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!