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Bruce, FRM, is testing the sensitivity of the VaR model to changes in positions. Which of the following statements is correct regarding the VaR model's sensitivity analysis?
A
The sensitivity of VaR to the position is dependent on the share of the position in the portfolio and the sensitivity of the overall portfolio value to the position value.
B
Data scarcity is negligible in conducting the sensitivity analysis, because the regression used in testing the sensitivity is based on simulated value changes of the position and portfolio.
C
The sensitivity analysis can help the financial institution to examine some choices it has made regarding the valuation of a particular position.
D
The portfolio composition of a large trading organization typically changes slowly, which does not form a challenge of performing the sensitivity analysis.
