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Which of the following statements is false regarding the use of long look-back periods when estimating value at risk (VAR)? Long look-back periods: A. smooth the reliance on short-term historical outliers. B. allow managers to increase required capital commitments and maintain adequate liquidity in the face of short-lived market crises and less-liquid financial markets. C. reduce VAR cyclicality. D. closely align the firm’s actual risk expectations with changes in market events. |