Bouche Dag, Bat Fastard and Wick Dipe, three risk managers at Ass Man Investments are discussing various VaR simulation techniques. Bouche Dag: One advantage of the Mean-Variance approach to calculating VaR is that is has support in the Modern Portfolio Theory (MPT). Bat Fastard: One advantage of Historical simulation for calculating VaR is that you don’t need daily valuations of your portfolio over the chosen historical period. Wick Dipe: Monte Carlo simulation is perferred over Mean-Variance for calculating VaR of an options portfoilo but Historical simulation is not. Which of the 3 risk manager(s) is/are correct? A. Dag and Fastard B. Dipe C. Dag

C

C

C

C i found the names distracting though

cannot be C because the mean variance method is not a way to calculate a VaR, the var-covar method is

these questions are garbage sniper

wake2000 Wrote: ------------------------------------------------------- > these questions are garbage sniper i know… i was making sh*t up at work today