Certified Chief Risk Officer (CCRO)

What is the primary limitation of using historical simulation for VaR calculations?

It requires normally distributed return data It assumes that the future will mirror past market conditions and may miss novel risk events It cannot be applied to equity portfolios It requires a minimum of 10 years of data to be statistically valid

Correct Answer:

It assumes that the future will mirror past market conditions and may miss novel risk events

Access more questions from this quiz

Continue to Certified Chief Risk Officer (CCRO) for more practice questions and the full quiz experience.

Access More Questions