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Basic Question 4 of 19

There are two assets in a portfolio. Assume the distribution of each asset'??s returns is normal. To estimate its parametric VaR, the ______ is (are) needed.

I. expected return of each asset
II. standard deviation of each asset
III. covariance between the 2 assets
IV. skewness of each asset
V. kurtosis of each asset

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I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach

Andrea Schildbach

Learning Outcome Statements

explain the use of value at risk (VaR) in measuring portfolio risk;

compare the parametric (variance -covariance), historical simulation, and Monte Carlo simulation methods for estimating VaR;

estimate and interpret VaR under the parametric, historical simulation, and Monte Carlo simulation methods;

describe advantages and limitations of VaR;

describe extensions of VaR;

CFA® 2025 Level II Curriculum, Volume 5, Module 41.