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Basic Question 18 of 19
Which method is the LEAST desirable for deriving conditional VaR?
B. Historical simulation
C. Monte Carlo simulation
A. Parametric method
B. Historical simulation
C. Monte Carlo simulation
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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.