Financial Risk Manager Part 2
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Q-19. Which of the following statements about volatility-weighting is true?
A
Historic returns are adjusted, and the VaR calculation is more complicated.
B
Historic returns are adjusted, and the VaR calculation procedure is the same.
C
Current period returns are adjusted, and VaR calculation is more complicated.
D
Current period returns are adjusted, and VaR calculation is the same.