Seeing is believing!
Before you order, simply sign up for a free user account and in seconds you'll be experiencing the best in CFA exam preparation.
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.
II. standard deviation of each asset
III. covariance between the 2 assets
IV. skewness of each asset
V. kurtosis of each asset
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
User Contributed Comments 0
You need to log in first to add your comment.
I was very pleased with your notes and question bank. I especially like the mock exams because it helped to pull everything together.
Martin Rockenfeldt
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.