Which of the following statements best describes methods for assessing portfolio tail risk? A. Parametric methods use
Question:
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.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: