Which of the following is the most likely explanation for the variation in VaR estimates?
A. Data problems
B. Differences in model assumptions
C. Endogenous model risk
D. Programming errors
Answer:B
Which of the following is the most likely explanation for the variation in VaR estimates?
A. Data problems B. Differences in model assumptions C. Endogenous model risk D. Programming errors
Explanation: VaR measures will vary according to the approach (delta-normal, historical simulation, Monte