Exit 8008 PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition
Question 4 of 5
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Q4 Single choice

Which of the following decisions need to be made as part of laying down a system for calculating VaR:

I - How returns are calculated, eg absoluted returns, log returns or relative/percentage returns II - Whether VaR is calculated based on historical simulation, Monte Carlo, or is computed parametrically III - Whether binary/digital options are included in the portfolio positions IV - How volatility is estimated

  • A

    I, II and IV

  • B

    II and IV

  • C

    I and III

  • D

    All of the above