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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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A financial institution is planning to add stressed VaR to the measures it uses to assess market risk. In preparation for this development, a risk analyst at the institution researches the differences between stressed VaR and traditional VaR, including the appropriate data, time horizons, and distributions. Which of the following is a major characteristic of stressed VaR that distinguishes it from traditional VaR?

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