15. Which of the following is an advantage of using an historical simulation to estimate...
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Accounting
15. Which of the following is an advantage of using an historical simulation to estimate VaR?
A. No need to assume a distribution
B. Historical simulations always yield a lower VaR
C. Enables the researcher to choose a distribution
D. Distributional assumptions are chosen for you
E. None of the above
16. What is the biggest disadvantage of using an historical simulation to estimate VaR?
A. The method relies heavily on the assumed distribution
B. The method always incurs higher tax liability
C. The historical period may be non-representative
D. Regulators do not allow this method for reporting purposes
E. None of the above are disadvantages
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