Financial Risk Manager Part 2
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The VaR at a 95% confidence level is estimated to be 1.56 from historical simulation of 1,000 observations. Which of the following statements is most likely true?
A
The parametric assumption of normal returns is correct
B
The parametric assumption of lognormal returns is correct
C
The historical distribution has fatter tails than a normal distribution.
D
The historical distribution has thinner tails than a normal distribution.