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Basic Question 6 of 13
Which of the following is not a limitation of VaR?
B. It fails to account for liquidity.
C. It relies largely on historical data.
A. Its reliability can be verified easily.
B. It fails to account for liquidity.
C. It relies largely on historical data.
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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
Learning Outcome Statements
describe sensitivity risk measures and scenario risk measures and compare these measures to VaR;
demonstrate how equity, fixed-income, and options exposure measures may be used in measuring and managing market risk and volatility risk;
describe the use of sensitivity risk measures and scenario risk measures;
describe advantages and limitations of sensitivity risk measures and scenario risk measures;
CFA® 2025 Level II Curriculum, Volume 5, Module 41.