Which of the following are shortcomings in the original VAR framework for measuring risk in the trading book?
- VAR techniques do not estimate the loss over and above the confidence limit.
- VAR is unable to estimate the worst loss for infrequent events occuring less than two or three times a year.
- VAR parameters are estimated using short time series data.
- VAR does not adequately capture risk arising from structured and exotic (less liquid) products.
A. I, II and IV.
B. II, III and IV.
C. I, II, III and IV.
D. I, II and III.
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