Which of the following statements regarding VAR (value at risk) and a bank’s exposure amounts are least accurate?
- Bank exposure amounts can be netted only if the long and short positions of a given exposure refer to different security types.
- Bank exposures can be calculated on a gross basis only if the liquidity time horizon is one year.
- Under Basel, VAR uses a 99% confidence interval.
- VAR estimation is based on one day value at risk, scaled to thirty days.
A. I, II and III.
B. II, III and IV.
C. I, II and IV.
D. I, II, III and IV.
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