Which of the following statements best describes methods for assessing portfolio tail risk? A. Parametric methods use

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Which of the following statements best describes methods for assessing portfolio tail risk?

A. Parametric methods use expected value and standard deviation of risk factors under a normal distribution and are well suited for option-based portfolios.

B. Historical simulation methods use historical parameters and ranking results and are not well suited for option-based portfolios.

C. Monte Carlo methods generate random outcomes using portfolio measures and sensitivities and are well suited for option-based portfolios.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 08, 2023 01:41 AM

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Which of the following statements best describes methods for assessing portfolio tail risk? A. Parametric methods use

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Fixed Income Analysis

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