alleryStart learning →Which is a nonparametric method of estimating VaR?
AVariance-covariance VaR
BDelta-gamma method VaR
CHistorical simulation VaR
DNormal distribution VaR
Answer & Solution
Correct answer: C. Historical simulation VaR
Historical simulation and resampled VaR are nonparametric, while variance-covariance and delta-gamma are parametric approaches.
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