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Which of the following statements comparing Monte Carlo VaR and historical VaR is most accurate? A. Both compute VaR from percentiles from a given set of observed returns, but historical VaR uses realized returns and Monte Carlo VaR uses hypothetical returns. B. Both compute VaR from percentiles from a given set of observed returns, but Monte Carlo VaR uses realized returns and historical VaR uses hypothetical returns. C. Both are parametric approaches, but historical VaR uses a regression on past data while Monte Carlo VaR uses Kalman filtering to create forward looking VaR estimates. D. Both are parametric approaches, but Monte Carlo VaR uses fewer inputs into the model than historical VaR. |