Financial Risk Manager Part 1
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Which of the following statements about Monte Carlo simulation is incorrect?
A
Correlations among variables can be incorporated into a Monte Carlo simulation.
B
Monte Carlo simulations can handle time-varying volatility.
C
Monte Carlo methods can be used to estimate value-at-risk (VaR) but cannot be used to price options.
D
For estimating VaR, Monte Carlo methods generally require more computing power than historical simulations.